Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas
开发了允许预期风险溢价和市场贝塔随时间变化的资产定价模型检验方法，利用1963-1982年按市值分组的十只股票组合的周数据，发现若预期溢价时变且不限于市场因子，单一风险溢价模型不被拒绝，但价值加权指数的条件均值-方差效率被拒绝。
ABSTRACT Tests of asset‐pricing models are developed that allow expected risk premiums and market betas to vary over time. These tests exploit the relation between expected excess returns and current market values. Using weekly data for 1963 through 1982 on ten common stock portfolios formed according to equity capitalization, a single‐risk‐premium model is not rejected if the expected premium is time varying and is not constrained to correspond to a market factor. Conditional mean‐variance efficiency of a value‐weighted stock index is rejected, and the rejection is insensitive to how much variability of expected risk premiums is assumed.