The Stationarity of the Conditional Mean of Real Rates of Return on Common Stocks: An Empirical Investigation
实证检验股票实际收益率的条件均值是否随时间恒定，这对资本资产定价模型的有效性至关重要，适合关注资产定价模型假设检验的研究者。
The capital asset pricing model of Sharpe [39], Lintner [28], and Mossin [33] has been the basis for many theoretical and empirical studies in capital markets. One criticism of the model hasbeen directed at the assumption that investors optimize in a one-period framework. Fama [7] and Merton [30] have shown that the results of this one-period optimization model are consistent with the results for an intertemporal optimization model if the investment opportunity set is constant over time. Specifically, the relevant parameters for the distributions of risky securities (i.e., conditional means and variances) must be constant over time. Merton has argued that this is a restrictive assumption, but there has been very little empirical evidence to suggest that changes in the investment opportunity set are significant.