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A testable single-beta model of asset prices is presented. Ifstate variables have a long-run stationary joint dysfunction,then the rate return on a very long-term default-free discountbond will be perfectly correlated with the representative investor'smarginal utility of consumption. Thus, the covariance of anasset's return with the return on such a bond will be an appropriatemeasure of the asset's riskiness. The model can be, therefore,applied or tested even though the market portfolio or aggregateconsumption may not be observable. It also is shown that theexpected rate of return on a very long-term bond is equal toits variance. This proposition can be tested to determine whetherstate variables follow stationary processes. 相似文献
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This article uses bond market data to empirically test the assetpricing model of Kazemi (1992). According to this model therate of return on a long-term, pure-discount, default-free bondwill be perfectly correlated with changes in the marginal utilityof the representative investor. The covariability between financialasset returns and returns on such a bond can therefore serveas a measure of the riskiness of assets. The aim of this studyis to determine whether the model can explain cross-sectionaldifferences in the monthly returns of bonds with different maturitydates. We estimate and test the restrictions imposed by themodel on returns of default-free bonds, while allowing the conditionaldistribution of bond returns to be time varying. The model isrejected during the full sample period (1973-1995) and the subperiod(1973-1980) when the Federal Reserve's focus is on interestrates, while the model is not rejected during the subperiod(1981-1995) when the Federal Reserve's focus is on money supply. 相似文献
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