Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices
在多元GARCH框架下检验条件资本资产定价模型，使用市场风险和债券风险的时变与恒定价格。基于1983年7月至1989年12月的周数据，支持ICAPM或双因子近视CAPM，但拒绝恒定市场风险价格下的单因子近视CAPM，发现利率风险显著，表明先前拒绝条件CAPM可能源于遗漏对冲项或不完全市场因子。
This paper tests conditional capital asset pricing models in a multivariate GARCH framework employing both constant and time-varying prices of market and bond risk. Depending on the interpretation of the market portfolio, the ICAPM with one hedge portfolio or the two-factor myopic CAPM are supported using weekly data from July 1983 to December 1989. In contrast, we reject the myopic single-factor CAPM under a constant price of market risk. We find that interest rate risk is highly significant, which suggests that previous rejections of the conditional CAPM using only stock market data may be due to omitted hedge terms or an incomplete market factor.