Is the ex ante risk premium always positive?
开发了检验条件资产定价模型不等式约束的方法，并应用于检验事前风险溢价是否总为正，发现某些状态下（如高预期通胀和向下倾斜的期限结构）事前风险溢价为负。
This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation and especially to downward-sloping term structures.