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Testing the consumption based CAPM: evidence from a new approach
Version 2 2024-06-18, 05:39
Version 1 2018-03-09, 16:23
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posted on 2024-06-18, 05:39 authored by PK Narayan, S PoppThe goal of this paper is to test the consumption based CAPM. To achieve this goal, we propose a new test capable of examining the unit root null hypothesis in cases of non-trending data. We fi?nd that the real interest rate series and the consumption growth rate series for Australia, Canada, Denmark, France, Italy, the USA, the UK, and Norway are non-stationary. This ?finding is consistent with the expectations of the consumption based CAPM.
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1-14Language
engNotes
School working paper (Deakin University. School of Accounting, Economics and Finance) ; 2010/09 The goal of this paper is to test the consumption based CAPM. To achieve this goal, we propose a new test capable of examining the unit root null hypothesis in cases of non-trending data. We fi?nd that the real interest rate series and the consumption growth rate series for Australia, Canada, Denmark, France, Italy, the USA, the UK, and Norway are non-stationary. This ?finding is consistent with the expectations of the consumption based CAPM.Publication classification
CN.1 Other journal articleCopyright notice
2010, The AuthorsPublisher
Deakin University, School of Accounting, Economics and FinancePlace of publication
Geelong, Vic.Series
School Working Paper - Economics Series ; SWP 2010/09Usage metrics
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