Consumption-based capital asset pricing model
- Consumption-based capital asset pricing model
-
The consumption-based capital asset pricing model (CCAPM) is used in finance and economics as an expansion of the capital asset pricing model (CAPM). The CCAPM factors in consumption as a means of understanding and calculating an expected return on investment.
The CCAPM implies that the expected risk premium on a risky asset, defined as the expected return on a risky asset less the risk free return, is proportional to the covariance of its return and consumption in the period of the return.The consumption beta is included and the expected return is calculated as follows:
r= rf + B(rm - rf)
r = expected return on security or portfolio rf = risk free rate B = consumption beta (of individual company or weighted average of portfolio), and rm = return from the market
[1]
References
References
- ^ Romer, David. Advanced Macroeconomics, ch. 7.
Wikimedia Foundation.
2010.
Look at other dictionaries:
Breeden, Douglas T. — Inventor of one of the foundational asset pricing models in finance, the consumption based capital asset pricing model. Chairman of Smith Breeden Associates, and Dean of the Fuqua School of Business. Bloomberg Financial Dictionary … Financial and business terms
List of important publications in economics — MacroeconomicsAmong the most important list of publication in economics are: The Wealth of Nations * Adam Smith * An Inquiry into the Nature and Causes of the Wealth of Nations, 1776. * [http://www.gutenberg.net/etext/3300 Online version]… … Wikipedia
List of energy abbreviations — This is a list of abbreviations found in the context of energy issues. Contents: 0–9 A B C D E F G H I J K L M N O P Q R S T U V W X Y … Wikipedia
Linear regression — Example of simple linear regression, which has one independent variable In statistics, linear regression is an approach to modeling the relationship between a scalar variable y and one or more explanatory variables denoted X. The case of one… … Wikipedia
Portfolio (finance) — In finance, a portfolio is an appropriate mix of or collection of investments held by an institution or a private individual. Holding a portfolio is part of an investment and risk limiting strategy called diversification. By owning several assets … Wikipedia
П — Пааше индекс [Paasche price index] Пагамент (Payment in cash) Пай (share, stock, stake) Пакет акций (interest, stock ) Пакетный множитель (blockage factor) … Экономико-математический словарь
Economic Affairs — ▪ 2006 Introduction In 2005 rising U.S. deficits, tight monetary policies, and higher oil prices triggered by hurricane damage in the Gulf of Mexico were moderating influences on the world economy and on U.S. stock markets, but some other… … Universalium
Late-2000s financial crisis — The TED spread (in red) increased significantly during the financial crisis, reflecting an increase in perceived credit risk … Wikipedia
Smart grid — Public infrastructure … Wikipedia
David Cass — For the British footballer, see David Cass (footballer). David Cass Born January 19, 1937(1937 01 19) Honululu, Hawai … Wikipedia
