Consumption-Based Factor Models is a class of asset pricing models within factor models that derives risk factors from aggregate consumption growth, distinguishing itself by linking asset returns to consumption-based marginal utility of wealth as implied by intertemporal optimization in macroeconomic theory.
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40
A Cross-Sectional Test of an Investment-Based Asset Pricing Model
John H. Cochrane · SSRN Electronic Journal · 1996 · 138 citations · Full text
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62
National Bureau of Economic Research
Cambridge, United States
9 h-index
14 publications
943 citations
Kellogg's (Canada)
Mississauga, Canada
3 h-index
3 publications
432 citations
University of Chicago
Chicago, United States
3 h-index
3 publications
99 citations
London School of Economics and Political Science
London, United Kingdom
3 h-index
3 publications
154 citations
Digital Research Alliance of Canada
Ottawa, Canada
2 h-index
2 publications
129 citations
University of Manchester
Manchester, United Kingdom
2 h-index
2 publications
50 citations
Hong Kong Polytechnic University
Hong Kong, Hong Kong
2 h-index
2 publications
92 citations
Hoover Institution
Stanford, United States
2 h-index
2 publications
209 citations
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- SSRN Electronic Journal
Repository · 9 publications · 410 citations
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- The Journal of Finance
3 publications · 561 citations
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- Journal of Applied Econometrics
2 publications · 135 citations
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- National Bureau of Economic Research
Repository · 2 publications · 63 citations
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- Elsevier eBooks
Ebook platform · 1 publications · 71 citations
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