We document two important asset pricing implications of the data release process of US consumption growth. First, initial releases are more suitable for asset pricing than final revised releases. This is because most revisions smooth out essential short-term consumption growth fluctuations. Second, first revisions incorporate novel information and their magnitude is strongly linked to consumption growth ambiguity. We formulate a novel consumption-based model, the Revised CCAPM, which incorporates these two effects using vintage data. It explains a striking 75% of the cross-sectional variation in average returns on 25 size-value portfolios. These results support the concept of state-dependent ambiguity attitudes.

我们记录了美国消费增长数据发布过程对资产​​定价的两个重要影响。首先，初始版本比最终修订版本更适合资产定价。这是因为大多数修正消除了基本的短期消费增长波动。其次，第一次修订包含了新信息，其幅度与消费增长的模糊性密切相关。我们制定了一种新颖的基于消费的模型，即修订后的 CCAPM，它使用老式数据结合了这两种效果。它解释了 25 个规模价值投资组合平均回报的 75% 的横截面变化。这些结果支持状态依赖的模糊态度的概念。