An Alternative Testable Form of the Consumption CAPM
在多商品经济中发展了一个消费导向的资产定价模型，该模型在消费总量和市场价格仅部分可观测时仍可检验，通过用商品市场价格和消费总量替代传统变量，为研究者提供了衡量证券风险的灵活性。
ABSTRACT This paper develops a consumption‐oriented model of asset prices in a multigood economy that is, in principle, testable even when aggregate consumption of goods and their market prices are only partially observable. Previous studies show that, when there are m consumption goods, equilibrium expected excess returns on securities are functions of their covariances with variables—aggregate consumption expenditure and market prices of consumption goods. Without making any further assumptions, the present model shows that a similar equilibrium relationship can be expressed in terms of covariances of asset returns with the following variables: market prices of k consumption goods and aggregate consumption of goods. Because the author's result provides researchers with some flexibility in choosing the set of variables that measure riskiness of securities, it should lead to more powerful tests of the model.