Changes in Expected Security Returns, Risk, and the Level of Interest Rates
通过回归分析证券收益与国库券利率的关系，研究理性资产定价模型中风险随时间变化的特征，发现利率相关的条件贝塔存在变化，并检验了消费和股票市场数据作为边际效用代理变量的效果。
ABSTRACT Regressions of security returns on treasury bill rates provide insight about the behavior of risk in rational asset pricing models. The information in one‐month bill rates implies time variation in the conditional covariances of portfolios of stocks and fixed‐income securities with benchmark pricing variables, over extended samples and within five‐year subperiods. There is evidence of changes in conditional “betas” associated with interest rates. Consumption and stock market data are examined as proxies for marginal utility, in a general framework for asset pricing with time‐varying conditional covariances.