TY  - JOUR
AU  - Grossman,Sanford J.
AU  - Shiller,Robert J.
TI  - Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 690
PY  - 1982
Y2  - November 1982
UR  - http://www.nber.org/papers/w0690
L1  - http://www.nber.org/papers/w0690.pdf
N1  - Author contact info:
Sanford J. Grossman
QFS Asset Management, L.P.
10 Glenville Street
Greenwich, CT 06831
Tel: 203/983-5600
Fax: 203/532-8250
E-Mail: sgrossman@quantholdings.com

Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that (a) all risky assets are tradable, (b) investors have homogeneous beliefs, (c) other assets can be traded without transactions costs and (d) that all assets have returns which are Ito processes.
ER  -