Real Economy Effects on Consumption-Based CAPM
The consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical perspective. In this paper, we comprehensively scrutini...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-01-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/3/360 |
| _version_ | 1797486339231318016 |
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| author | Dandan Zheng Shusheng Ding Tianxiang Cui Huan Jin |
| author_facet | Dandan Zheng Shusheng Ding Tianxiang Cui Huan Jin |
| author_sort | Dandan Zheng |
| collection | DOAJ |
| description | The consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical perspective. In this paper, we comprehensively scrutinize the real economy effects on the CCAPM by comprising expenditure on durable, expenditure on non-durable goods, services, and real estate four factors. Our study pays great attention to the real economy effect on the CCAPM based on two types of portfolios. By employing both time-series and cross-sectional analysis, our empirical results suggest that the real economy factors can help traditional CCAPM to produce better asset pricing results. Particularly, incorporating the real estate component into the CCAPM model can improve its explanation power on the stock market risk. Our results are potentially useful for investors, portfolios managers and policy makers towards the CCAPM. |
| first_indexed | 2024-03-09T23:32:45Z |
| format | Article |
| id | doaj.art-0b120348baa148d58f41267d155c23cd |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T23:32:45Z |
| publishDate | 2022-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-0b120348baa148d58f41267d155c23cd2023-11-23T17:06:17ZengMDPI AGMathematics2227-73902022-01-0110336010.3390/math10030360Real Economy Effects on Consumption-Based CAPMDandan Zheng0Shusheng Ding1Tianxiang Cui2Huan Jin3Business School, Ningbo University, Ningbo 315201, ChinaBusiness School, Ningbo University, Ningbo 315201, ChinaSchool of Computer Science, University of Nottingham Ningbo China, Ningbo 315104, ChinaSchool of Computer Science, University of Nottingham Ningbo China, Ningbo 315104, ChinaThe consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical perspective. In this paper, we comprehensively scrutinize the real economy effects on the CCAPM by comprising expenditure on durable, expenditure on non-durable goods, services, and real estate four factors. Our study pays great attention to the real economy effect on the CCAPM based on two types of portfolios. By employing both time-series and cross-sectional analysis, our empirical results suggest that the real economy factors can help traditional CCAPM to produce better asset pricing results. Particularly, incorporating the real estate component into the CCAPM model can improve its explanation power on the stock market risk. Our results are potentially useful for investors, portfolios managers and policy makers towards the CCAPM.https://www.mdpi.com/2227-7390/10/3/360consumption-based capital asset pricing model (CCAPM)durable goodsnon-durable goodsreal estateportfolio managementtime-series regression |
| spellingShingle | Dandan Zheng Shusheng Ding Tianxiang Cui Huan Jin Real Economy Effects on Consumption-Based CAPM Mathematics consumption-based capital asset pricing model (CCAPM) durable goods non-durable goods real estate portfolio management time-series regression |
| title | Real Economy Effects on Consumption-Based CAPM |
| title_full | Real Economy Effects on Consumption-Based CAPM |
| title_fullStr | Real Economy Effects on Consumption-Based CAPM |
| title_full_unstemmed | Real Economy Effects on Consumption-Based CAPM |
| title_short | Real Economy Effects on Consumption-Based CAPM |
| title_sort | real economy effects on consumption based capm |
| topic | consumption-based capital asset pricing model (CCAPM) durable goods non-durable goods real estate portfolio management time-series regression |
| url | https://www.mdpi.com/2227-7390/10/3/360 |
| work_keys_str_mv | AT dandanzheng realeconomyeffectsonconsumptionbasedcapm AT shushengding realeconomyeffectsonconsumptionbasedcapm AT tianxiangcui realeconomyeffectsonconsumptionbasedcapm AT huanjin realeconomyeffectsonconsumptionbasedcapm |