The Variation of Economic Risk Premiums
分析了月度股票和债券组合收益的可预测成分，发现大部分可预测性与多贝塔理性资产定价模型中对经济变量的敏感性有关，其中股票市场风险溢价对股票组合的可预测变化最重要，而利率风险溢价则捕捉了债券收益的可预测性。
This paper provides an analysis of the predictable components of monthly common stock and bond portfolio return. Most of the predictability is associated with sensitivity to economic variables in a rational asset pricing model with multiple betas. The stock market risk premium is the most important for capturing predictable variation of the stock portfolios, while premiums associated with interest rate risks capture predictability of the bond returns. Time variation in the premium for beta risk is more important than changes in the betas. Copyright 1991 by University of Chicago Press.