Expected Returns, Time-Varying Risk, and Risk Premia
提出一个跨期资本资产定价的新实证模型，允许风险溢价和贝塔随时间变化，发现加入股票市场与公司债券作为风险因素比仅用股票市场更能解释超额收益的可预测变动。
A new empirical model for intertemporal capital asset pricing is presented that allows both time-varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when the stock market is the single factor. Although changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributed to changes in the risk premia. Copyright 1994 by American Finance Association.(This abstract was borrowed from another version of this item.)