A General Equilibrium Model of Changing Risk Premia: Theory and Tests

被引：32

作者：

Bossaerts, Peter ^{[1
]}

Green, Richard C. ^{[1
]}

机构：

[1] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1989年 / 2卷 / 04期

关键词：

D O I：

10.1093/rfs/2.4.467

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We derive and test a dynamic discrete-time model of asset returns. Both the risks of individual securities and equilibrium risk premia change predictably in the model but these changes can be attributed to movements in the returns and prices of only two well-diversified portfolios. Any other components of returns should be unpredictable. Using the generalized method of moments, the model is estimated and tested on portfolios of equities. We find the data supportive of the model's restrictions, even when instruments designed to capture the January effect are employed.

引用

页码：467 / 493

页数：27

共 29 条

[11]

FAMA EF, 1988, J POLIT ECON, V96, P246

[12]

Gennotte M. R., 1985, WORKING PAPER

[13] A TEST OF THE EFFICIENCY OF A GIVEN PORTFOLIO [J].