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.
Series
School Working Paper - Economics Series ; SWP 2010/09Pagination
1 - 14Publisher
Deakin University, School of Accounting, Economics and FinancePlace of publication
Geelong, Vic.Language
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 Authors
