Asset Pricing, Higher Moments, and the Market Risk Premium: A Note
从理论上探讨为何市场风险溢价会影响包含高阶矩的资产定价模型检验，指出其非线性进入定价方程，若忽视可能导致错误结论。
The purpose of this note is to examine, theoretically, why the market risk premium (R^_ g\ raa y influence tests of asset pricing models with higher moments.When moments of higher order than the variance are added to a pricing model developed within the usual two-fund separation assump- tions, the market risk premium enters the pricing equation in a nonlinear fashion and is implicit in the estimation of each moment's coefficient.Unless this nonlinearity is recognized, incorrect conclusions regarding the tests of such models may result.