Estimating the Marginal Rate of Substitution in the Intertemporal Capital Asset Pricing Model
提出一种估计跨期资本资产定价模型中边际替代率的方法，将其视为不可观测变量，利用单期收益率构造矩估计量，并检验股票价格是否为事后市场基本面的无偏预测。
A method for estimating the marginal rate of substitution in the intertemporal capital asset pricing model is presented. The marginal rate of substitution is treated as an unobservable and one-period returns are used to develop a method of moments estimator that is consistent. Consistency depends on both a large number of time observations and a large number of securities. In the last section of the paper, the estimates of the marginal rate of substitution are used to test whether stock prices are unbiased predictors of ex post market fundamentals. Copyright 1989 by MIT Press.