Real Economy Effects on Consumption-Based CAPM

Dandan Zheng, Shusheng Ding, Tianxiang Cui, Huan Jin

Research output: Journal PublicationArticlepeer-review

1 Citation (Scopus)


The consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical perspective. In this paper, we comprehensively scrutinize the real economy effects on the CCAPM by comprising expenditure on durable, expenditure on non-durable goods, services, and real estate four factors. Our study pays great attention to the real economy effect on the CCAPM based on two types of portfolios. By employing both time-series and cross-sectional analysis, our empirical results suggest that the real economy factors can help traditional CCAPM to produce better asset pricing results. Particularly, incorporating the real estate component into the CCAPM model can improve its explanation power on the stock market risk. Our results are potentially useful for investors, portfolios managers and policy makers towards the CCAPM.

Original languageEnglish
Article number360
Issue number3
Publication statusPublished - 1 Feb 2022


  • Consumption-based capital asset pricing model (CCAPM)
  • Cross-sectional regression
  • Durable goods
  • Non-durable goods
  • Portfolio management
  • Real estate
  • Time-series regression

ASJC Scopus subject areas

  • Computer Science (miscellaneous)
  • General Mathematics
  • Engineering (miscellaneous)


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