Does Money Explain Asset Returns？Theory and Empirical Analysis.docVIP

Does Money Explain Asset Returns？Theory and Empirical Analysis DoesMoneyExplainAssetReturns?TheoryandEmpiricalAnalysisK.C.Chan;SilverioForesi;LarryH.P.LangTheJournalofFinance,Vol.51,No.1.(Mar.,1996),pp.345-361.StableURL://links.jstor.org/sici?sici=0022-10822951%3A1%3C345%3ADMEART%3E2.0.CO%3B2-OTheJournalofFinanceiscurrentlypublishedbyAmericanFinanceAssociation.YouruseoftheJSTORarchiveindicatesyouracceptanceofJSTOR’sTermsandConditionsofUse,availableat//.jstor.org/about/terms.html.JSTOR’sTermsandConditionsofUseprovides,inpart,thatunlessyouhaveobtainedpriorpermission,youmaynotdownloadanentireissueofajournalormultiplecopiesofarticles,andyoumayusecontentintheJSTORarchiveonlyforyourpersonal,non-commercialuse.Pleasecontactthepublisherregardinganyfurtheruseofthiswork.Publishercontactinformationmaybeobtainedat//.jstor.org/journals/afina.html.EachcopyofanypartofaJSTORtransmissionmustcontainthesamecopyrightnoticethatappearsonthescreenorprintedpageofsuchtransmission.TheJSTORArchiveisatrusteddigitalrepositoryprovidingforlong-termpreservationandaccesstoleadingacademicjournalsandscholarlyliteraturefromaroundtheworld.TheArchiveissupportedbylibraries,scholarlysocieties,publishers,andfoundations.ItisaninitiativeofJSTOR,anot-for-profitorganizationwithamissiontohelpthescholarlycommunitytakeadvantageofadvancesintechnology.FormoreinformationregardingJSTOR,pleasecontactsupport@jstor.org.//.jstor.orgFriOct1911:56:352007 THE JOURNAL OF FINANCE VOL LI, NO 1 .MARCH 1996 Does Money Explain Asset Returns? Theory and Empirical Analysis K. C. CHAN, SILVER10 FORESI, and LARRY H. P. LANG* ABSTRACT A cash-in-advance model of a monetary economy is used to derive a money-based CAPM (M-CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional informati