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1、DoesMoneyExplainAssetReturns？TheoryandEmpiricalAnalysisDoesMoneyExplainAssetReturns?TheoryandEmpiricalAnalysisK.C.Chan;SilverioForesi;LarryH.P.LangTheJournalofFinance,Vol.51,No.1.(Mar.,1996),pp.345-361.StableURL://links.jstor.org/sici?sici=0022-1082%28199603%2951
2、%3A1%3C345%3ADMEART%3E2.0.CO%3B2-OTheJournalofFinanceiscurrentlypublishedbyAmericanFinanceAssociation.YouruseoftheJSTORarchiveindicatesyouracceptanceofJSTOR’sTermsandConditionsofUse,availableat//.jstor.org/about/terms.html.JSTOR’sTermsandConditionsofUseprovides,i
3、npart,thatunlessyouhaveobtainedpriorpermission,youmaynotdownloadanentireissueofajournalormultiplecopiesofarticles,andyoumayusecontentintheJSTORarchiveonlyforyourpersonal,non-commercialuse.Pleasecontactthepublisherregardinganyfurtheruseofthiswork.Publishercontacti
4、nformationmaybeobtainedat//.jstor.org/journals/afina.html.EachcopyofanypartofaJSTORtransmissionmustcontainthesamecopyrightnoticethatappearsonthescreenorprintedpageofsuchtransmission.TheJSTORArchiveisatrusteddigitalrepositoryprovidingforlong-termpreservationandacc
5、esstoleadingacademicjournalsandscholarlyliteraturefromaroundtheworld.TheArchiveissupportedbylibraries,scholarlysocieties,publishers,andfoundations.ItisaninitiativeofJSTOR,anot-for-profitorganizationwithamissiontohelpthescholarlycommunitytakeadvantageofadvancesint
6、echnology.FormoreinformationregardingJSTOR,pleasecontactsupport@jstor.org.//.jstor.orgFriOct1911:56:352007THEJOURNALOFFINANCEVOLLI,NO1.MARCH1996DoesMoneyExplainAssetReturns?TheoryandEmpiricalAnalysisK.C.CHAN,SILVER10FORESI,andLARRYH.P.LANG*ABSTRACTAcash-in-advanc
7、emodelofamonetaryeconomyisusedtoderiveamoney-basedCAPM(M-CAPM),whichallowsustoimplementtestsofassetpricingrestrictionswithoutconsumptiondata.AtestasinFamaandMacBethofthemodelsuggeststhatthemoneybetashavesomeexplanatorypowerforthecross-sectionalvariationofexpected
8、returns;however,themodelisrejectedusingconditionalinformation.Consistentwithourpredictions,estimatesofthecurvatureparameterarelowerthanthoseoftheconsumptionCAP
