Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/tests-of-asset-pricing-with-time-varying-expected-risk-premiums-and-zxMDFEQPdy
References (40)
-
J. Long (1974)
Stock prices, inflation, and the term structure of interest ratesJournal of Financial Economics, 1
-
L. Hansen, R. Hodrick (1983)
Chapter Title: Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models -
B. Efron (1987)
The jackknife, the bootstrap, and other resampling plans -
Campbell Campbell
“Stock Returns and the Term Structure.”Journal of Financial Economics
-
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
-
Keim Keim, Stambaugh Stambaugh (December 1986)
“Predicting Returns in the Bond and Stock Markets.”Journal of Financial Economics, 17
-
J. Cox, J. Ingersoll, S. Ross (1985)
AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICESEconometrica, 53
-
E. Fama, K. French (1988)
Permanent and Temporary Components of Stock PricesJournal of Political Economy, 96
-
M. Gibbons (1982)
MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachJournal of Financial Economics, 10
-
N. Chen (1983)
Some Empirical Tests of the Theory of Arbitrage PricingJournal of Finance, 38
-
Richard Roll (1977)
A Critique of the Asset Pricing Theory''s Tests: Part I -
Roll Roll (March 1977)
“A Critique of the Asset Pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory.”Journal of Financial Economics, 4
-
Roll Roll, Ross Ross (December 1980)
“An Empirical Examination of the Arbitrage Pricing Theory.”Journal of Finance, 35
-
Yasushi Hamao (1988)
An empirical examination of the Arbitrage Pricing Theory: Using Japanese dataJapan and the World Economy, 1
-
E. Fama, G. Schwert (1977)
Asset returns and inflationJournal of Financial Economics, 5
-
W. Sharpe (1964)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
-
J. Jobson, Bob Korkie (1982)
Potential performance and tests of portfolio efficiencyJournal of Financial Economics, 10
-
Michael Rozeff (1984)
Dividend yields are equity risk premiums, 11
-
S. Ross (1976)
The arbitrage theory of capital asset pricingJournal of Economic Theory, 13
-
Philip Dybvig (1983)
An explicit bound on individual assets' deviations from APT pricing in a finite economyJournal of Financial Economics, 12
-
R. Stambaugh (1983)
Arbitrage pricing with informationJournal of Financial Economics, 12
-
R. Hall (1988)
Intertemporal Substitution in ConsumptionJournal of Political Economy, 96
-
S. Ross (1977)
THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUESJournal of Finance, 32
-
Donald Keim, R. Stambaugh (1986)
Predicting returns in the stock and bond marketsJournal of Financial Economics, 17
-
Gregory Connor (1984)
A Unified Beta Pricing TheoryJournal of Economic Theory, 34
-
L. Hansen, K. Singleton (1982)
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations ModelsEconometrica, 50
-
J. Campbell (1985)
Stock Returns and the Term StructureNBER Working Paper Series
-
Richard Roll, S. Ross (1980)
An Empirical Investigation of the Arbitrage Pricing TheoryJournal of Finance, 35
-
L. Low, B. Efron (1983)
The Jackknife: The Bootstrap and Other Resampling Plans.Journal of the American Statistical Association, 78
-
J. Greenberg, Shlomo Weber (1985)
Consistent d-Relative Majority EquilibriaEconometrica, 53
-
G. Chamberlain, M. Rothschild (1982)
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset MarketsNBER Working Paper Series
-
Arthur Keown (1994)
Foundations of Finance -
Douglas Breeden (1979)
An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment OpportunitiesERN: Asset Pricing Models (Topic)
-
T. Bollerslev, R. Engle, J. Wooldridge (1988)
A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 96
-
Yaacov Bergman (1985)
Time preference and capital asset pricing modelsJournal of Financial Economics, 14
-
Mark Grinblatt, S. Titman (1983)
Factor pricing in a finite economyJournal of Financial Economics, 12
-
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
-
Chen Chen (December 1983)
“Some Empirical Tests of Arbitrage Pricing.”Journal of Finance, 38
-
M. Gibbons, W. Ferson (1985)
Testing asset pricing models with changing expectations and an unobservable market portfolioJournal of Financial Economics, 14
-
J. Ingersoll (1984)
Some Results in the Theory of Arbitrage PricingJournal of Finance, 39
- Publisher
- Wiley
- Copyright
- 1987 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1987.tb02564.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT Tests of asset‐pricing models are developed that allow expected risk premiums and market betas to vary over time. These tests exploit the relation between expected excess returns and current market values. Using weekly data for 1963 through 1982 on ten common stock portfolios formed according to equity capitalization, a single‐risk‐premium model is not rejected if the expected premium is time varying and is not constrained to correspond to a market factor. Conditional mean‐variance efficiency of a value‐weighted stock index is rejected, and the rejection is insensitive to how much variability of expected risk premiums is assumed.
Journal
The Journal of Finance – Wiley
Published: Jun 1, 1987