The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets
检验了1974年7月至1986年12月间美元、德国马克、英镑和瑞士法郎资产组合及美国股票市场的周度数据，看条件方差能否解释风险溢价的时变，结果发现不能。
ABSTRACT This paper attempts to determine whether the fluctuations of conditional first and second moments—which are observed for many assets—are consistent with the Sharpe‐Lintner‐Mossin capital asset pricing model. We test the mean‐variance model under several different assumptions about the time variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, sterling, and Swiss franc assets, together with the U.S. stock market. The results indicate that estimated conditional variances cannot explain the observed time variation of risk premia.