INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA: EMPIRICAL TESTS
نویسندگان
چکیده
منابع مشابه
Intertemporal Asset Pricing without Consumption Data: Empirical Tests
In this paper I conduct tests of an intertemporal asset pricing model using variables that forecast stock returns as the risk factors. I document that the forecasting variables are priced so that expected excess returns are related to their conditional covariances with the forecasting variables. The variability in the covariance risk fails to explain the cross-sectional and time-series variatio...
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ژورنال
عنوان ژورنال: Journal of Financial Research
سال: 1997
ISSN: 0270-2592
DOI: 10.1111/j.1475-6803.1997.tb00236.x