Asset Pricing With Data Revisions

76 Pages Posted: 13 Sep 2019 Last revised: 10 Jun 2022

See all articles by Daniel Borup

Daniel Borup

Aarhus University, CREATES, DFI

Erik Christian Montes Schütte

Aarhus University; Aarhus University - CREATES; DFI

Date Written: September 5, 2019


This paper documents the asset pricing implications of the data release process of National Income and Product Accounts (NIPA) consumption expenditure. We show that initial consumption data releases are more suitable for asset pricing than final revised releases. This is because most revisions smooth out important short-term consumption growth fluctuations. This also explains the documented success of non-revised proposals like garbage and electricity and unfiltered consumption which recover these lost short-term fluctuations. Yet, first revisions specifically incorporate novel information and their magnitude is strongly linked to uncertainty about consumption growth. On this basis, we formulate a new consumption-based model, the Revised CCAPM, which incorporates these effects from the release process using only NIPA vintage data. It explains a striking 75% of the cross-sectional variation in average returns on the 25 size-value portfolios, including a large part of the value premium, when featuring the first data release and state-dependent uncertainty coming from first revisions. These effects are consistent with investors' state-dependent ambiguity attitudes and are priced in the financial market as such.

Keywords: Data revisions, vintage data, consumption-based capital asset pricing model, NIPA personal consumption expenditures, ambiguity.

JEL Classification: C82, G11, G12, E21

Suggested Citation

Borup, Daniel and Schütte, Erik Christian Montes and Schütte, Erik Christian Montes, Asset Pricing With Data Revisions (September 5, 2019). Journal of Financial Markets, Vol 59, Part B, 2022, Available at SSRN: or

Daniel Borup (Contact Author)

Aarhus University, CREATES, DFI ( email )

School of Business and Social Sciences
Fuglesangs Alle 4
Aarhus V, 8210

Erik Christian Montes Schütte

Aarhus University ( email )

Nordre Ringgade 1
DK-8000 Aarhus C, 8000

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C


DFI ( email )

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