Risk and Return: Consumption Beta Versus Market Beta
比较了传统资本资产定价模型（以市场回报衡量风险）与消费资本资产定价模型（以消费增长衡量风险），通过464只股票的数据发现市场贝塔优于消费贝塔。
Much recent work emphasizes the joint nature of the consumption decision and the portfolio allocation decision. In this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a cross-section of 464 stocks and find that the beta measured with respect to a stock market index outperforms the beta measured with respect to consumption growth.