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。实证发现货币贝塔能部分解释预期收益的横截面差异，但模型在条件信息下被拒绝。
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.