The Investment CAPM

Zhang, Lu

doi:10.3386/w23226

2017

DOI: 10.3386/w23226

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The Investment CAPM

Lu Zhang

Abstract: Andreas Stathopoulos, and especially Chen Xue for helpful comments. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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Cited by 5 publications

References 116 publications

(203 reference statements)

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Consumption-Based Asset Pricing When Consumers Make Mistakes

Anderson

2021

FEDS

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I analyze the implications of allowing consumers to make mistakes on the risk-return relationships predicted by consumption-based asset pricing models. I allow for consumption mistakes using a model in which a portfolio manager selects investments on a consumer's behalf. The consumer has an arbitrary consumption policy that could reflect a wide range of mistakes. For power utility, expected returns do not generally depend on exposure to single-period consumption shocks, but robustly depend on exposure to both long-run consumption and expected return shocks. I empirically show that separately accounting for both types of shocks helps explain the equity premium and cross section of stock returns.

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Consumption-Based Asset Pricing When Consumers Make Mistakes

Anderson

2021

FEDS

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Accounting-Based Estimates of the Cost of Capital: A Third Way

Penman¹,

Zhu

2016

SSRN Journal

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Accounting-Based Estimates of the Cost of Capital: A Third Way

Penman¹,

Zhu²

2017

SSRN Journal

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The Investment CAPM

Cited by 5 publications

References 116 publications

Consumption-Based Asset Pricing When Consumers Make Mistakes

Consumption-Based Asset Pricing When Consumers Make Mistakes

Accounting-Based Estimates of the Cost of Capital: A Third Way

Accounting-Based Estimates of the Cost of Capital: A Third Way

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