An Empirical Test of the Consumption-Based Asset Pricing Model (CCAPM) in Latin America
32 Pages Posted: 18 Jul 2019
Date Written: January 1, 2009
This study investigates whether the Consumption-based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with the exception of Mexico. Such results are, in part, similar to the results reported in previous studies for the United States of America.
Keywords: CapitalMarkets, Assets PricingModels, CCAPM, Latin America, Two-Stage Cross-Sectional Regressions
JEL Classification: G12, C21
Suggested Citation: Suggested Citation