Asset holders’ consumption risk and tests of conditional CCAPM
使用资产持有者的消费数据检验条件消费资本资产定价模型，发现资产持有者消费风险价格呈顺周期变化，这一现象与现有模型不符，并在多种资产类别和消费度量中稳健。
We test the conditional consumption-CAPM using asset holders’ consumption and find that the time variation in the prices of asset holders’ consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different measures of consumption (household survey data and high-frequency retail shopping data) and alternative empirical methodologies.