Does Money Explain Asset Returns? Theory and Empirical Analysis
用现金先行模型推导出基于货币的CAPM，无需消费数据即可检验资产定价限制。实证发现货币贝塔对预期收益的横截面变化有一定解释力，但条件信息下模型被拒绝。
ABSTRACT A cash‐in‐advance model of a monetary economy is used to derive a money‐based CAPM (M‐CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross‐sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C‐CAPM) and pricing errors of the M‐CAPM tend to be smaller than those of the C‐CAPM.