An Intemporal Model of Asset Prices in a Markov Economy with a Limiting Stationary Distribution
提出一个可检验的单贝塔资产定价模型，证明长期无违约贴现债券的收益率与代表性投资者的边际消费效用完全相关，从而可用该债券的收益率协方差衡量资产风险，且无需观察市场组合或总消费。
A testable single-beta model of asset prices is presented. If state variables have a long-run stationary joint density function, then the rate return on a very long-term default-free discount bond will be perfectly correlated with the representative investor’s marginal utility of consumption. Thus, the covariance of an asset’s return with the return on such a bond will be an appropriate measure of the asset’s riskiness. The model can be, therefore, applied or tested even though the market portfolio or aggregate consumption may not be observable. It also is shown that the expected rate of return on a very long-term bond is equal to its variance. This proposition can be tested to determine whether state variables follow stationary processes.