English, Article edition: Money and the C-CAPM Balvers, Ronald J.; Huang, Dayong

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Bookmark: http://trove.nla.gov.au/version/16759
Physical Description
  • article
Language
  • English

Edition details

Title
  • Money and the C-CAPM
Author
  • Balvers, Ronald J.
  • Huang, Dayong
Physical Description
  • article
Notes
  • We consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model versions compare favorably to other theoretical asset pricing models along several dimensions, supporting the traditional intertemporal asset pricing perspective. A value premium arises because value firms are sensitive to liquidity shocks but growth firms are not. Although no alternative factor drives out the money growth factor, the conditioning CAY factors of Lettau and Ludvigson (2001b) add explanatory power.
  • RePEc:cup:jfinqa:v:44:y:2009:i:02:p:337-368_09
Language
  • English
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