The Implications of Nonmarketable Income for Consumption‐Based Models of Asset Pricing
提出非市场化收入的新表示法，证明在连续交易下，消费贝塔值不唯一，消费资本资产定价模型不成立，但跨期资本资产定价模型仍然有效。
ABSTRACT A new representation of nonmarketable (NM) income is introduced in this essay. Using this representation and continuous trading, there exists a set of individuals who do not participate in the asset market and who consume at the rate of nonmarketable income derived from human capital. Because these individuals remain nonparticipants for a range of stochastic processes governing the NM income, consumption betas are not generally unique in value and the consumption‐based CAPM (CCAPM) does not obtain. However, the intertemporal CAPM (ICAPM) of Merton remains valid.