Handbook of the Economics of Finance

Chapter 12

Advances in Consumption-Based Asset Pricing: Empirical Tests ^*

Sydney C. Ludvigson

Department of Economics, New York University and NBER, 19W. 4th Street, 6th Floor, New York, NY 10012, USA. Tel.: [phone], [e-mail] http://www.econ.nyu.edu/user/ludvigsons/

Abstract

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the growing body of empirical work that evaluates today’s leading consumption-based asset pricing theories using formal estimation, hypothesis testing, and ...