Risk, Time-Varying Second Moments and Market Efficiency
在一个统一框架下嵌套了消费CAPM和静态CAPM，并检验市场效率。实证表明静态CAPM优于消费CAPM，且能解释股息收益率对预期收益的影响。
The paper addresses two topics. First, it nests the consumption and static CAPM in a unified framework. Second, it tests for market efficiency. The first test is based on the idea that different models price risk on the basis of the covariance with different benchmark portfolios. The test of market efficiency is based on the idea that excess returns should be predictable only if risk, and therefore second moments, are predictable. The empirical results show that the static CAPM performs better than the consumption CAPM and that the former model accounts for the effects of dividend yields on expected returns.