The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 3.
Consumption Risk in Futures Markets
Published: 05/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02182.x
DOUGLAS T. BREEDEN
Discussion
Published: 05/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02173.x
DOUGLAS T. BREEDEN
Empirical Tests of the Consumption‐Oriented CAPM
Published: 06/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb05056.x
DOUGLAS T. BREEDEN, MICHAEL R. GIBBONS, ROBERT H. LITZENBERGER
The empirical implications of the consumption‐oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same.