Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing
构建并估计了一个考虑时变投资机会的简单估值模型，利用美国国债收益率和预期通胀数据，发现估计的最大夏普比率与股权溢价相关，且两个状态变量在截面资产定价检验中具有显著的风险溢价，支持Merton的ICAPM。
ABSTRACT A simple valuation model with time‐varying investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein–Uhlenbeck processes. The model parameters and time series of the state variables are estimated using U.S. Treasury bond yields and expected inflation from January 1952 to December 2000, and as predicted, the estimated maximum Sharpe ratio is related to the equity premium. In cross‐sectional asset‐pricing tests, both state variables have significant risk premia, which is consistent with Merton's ICAPM.