New Neoclassical Synthesis models equate the instrument of monetary policy to the implied CCAPM rate arising from a standard model with power utility. This paper identifies monetary policy shocks using a multi country dataset and examines the movement of money market and implied CCAPM rates. We find that an increase in the nominal interest rate leads to a fall in the implied CCAPM rate. Incorpo...

When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM ...

Although consumption-based asset pricing constitutes a solid body of work for the purpose relating prices and macroeconomics, most empirical tests put into question representative investor perspective. Furthermore, approaches accounting untraded risks, such as Constantinides-Duffie model, face problem correctly quantifying idiosyncratic risk. In this paper we exploit strong relationship income ...

Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...

In this study, the aim is to propose a new method for fuzzification of nested dummy variables. The fuzzification idea of dummy variables has been acquired from non-linear part of regime switching models in econometrics. In these models, the concept of transfer functions is like the notion of fuzzy membership functions, but no principle or linguistic sentence have been used for inputs. Consequen...

Purpose This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under financial embargo compare results with those an important neighboring market, namely, Turkey. Design/methodology/approach follows Liu et al. (2016) incorporates into traditional consumption-based asset-pricing model (CCAPM) from 2009 2017. Effective are e...