Conditions for Myopic Valuation and Serial Independence of the Market Excess Return in Discrete Time Models
在多期纯交换经济中，推导出投资者具有HARA偏好时，单期资产定价模型可逐期应用的条件，以及市场超额收益序列独立的条件，后者表明序列独立极不可能，因此假设序列独立的估计方法可能产生偏误。
ABSTRACT In a multiperiod pure exchange world with investors displaying HARA‐preferences, conditions for period‐by‐period application of one‐period asset pricing models are derived first. The future investment opportunity set may be uncertain, provided that in every period a specific market portfolio variable depending on preferences is known as of the preceding date. This variable need not be completely deterministic. Second, conditions for a serially independent market excess return are derived. These conditions render serial independence very unlikely. Hence estimation methods assuming serial independence are likely to yield biased results.