Empirical Tests of the Consumption‐Oriented CAPM
检验了消费导向资本资产定价模型（CCAPM）的实证含义，并与基于市场组合的模型比较。调整消费数据测量问题后，发现风险市场价格显著为正，实际利率接近零，CCAPM与传统CAPM表现相当。
ABSTRACT The empirical implications of the consumption‐oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same.