Chapter 5 Theory and empirical testing of asset pricing models

Publisher Summary This chapter reviews the main asset-pricing theories in finance and discusses combining the models by using a simple, unifying framework. The models are viewed as special cases of a canonical pricing equation. The canonical expression provides simple testable restrictions on the models. It can also be estimated and tested directly once the form of the pricing variable, implied by a particular model, is specified. The generalized method of moments provides a unifying econometric framework for discussing recent advances in formulating and testing asset-pricing models. This chapter focuses on models in which expected returns and measures of risk are conditioned on, and may vary with economic information. Understanding the role of conditioning information in asset-pricing models represents one of the greatest challenges and opportunities for asset-pricing research, both theoretical and empirical.

[1]  A. C. Burnside,et al.  Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models , 1994 .

[2]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[3]  Matthew Richardson,et al.  Temporary Components of Stock Prices: A Skeptic's View , 1993 .

[4]  W. Newey,et al.  Hypothesis Testing with Efficient Method of Moments Estimation , 1987 .

[5]  E. C. Chang,et al.  Time-Varying Return and Risk in the Corporate Bond Market , 1990, Journal of Financial and Quantitative Analysis.

[6]  Campbell R. Harvey.  Time-Varying Conditional Covariances in Tests of Asset Pricing Models , 1989 .

[7]  George M. Constantinides,et al.  Habit Formation: A Resolution of the Equity Premium Puzzle , 1990, Journal of Political Economy.

[8]  The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets , 1988 .

[9]  Stephen F. LeRoy,et al.  Econometric Aspects of the Variance-Bounds Tests: A Survey , 1991 .

[10]  Michael R. Gibbons,et al.  MULTIVARIATE TESTS OF FINANCIAL MODELS A New Approach , 1982 .

[11]  W. Ferson,et al.  Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations☆ , 1987 .

[12]  D. Hinkley.  Jackknifing in Unbalanced Situations , 1977 .

[13]  George M. Constantinides,et al.  Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation , 1982 .

[14]  Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information , 1982 .

[15]  Nelson C. Mark.  Time-varying betas and risk premia in the pricing of forward foreign exchange contracts , 1988 .

[16]  David A. Marshall.  Inflation and asset returns in a monetary economy , 1992 .

[17]  G. Chamberlain.  Arthur S. Goldberger and Latent Variables in Econometrics: Distinguished Fellow , 1990 .

[18]  Sanford J. Grossman,et al.  Estimating the Continuous Time Consumption Based Asset Pricing Model , 1985 .

[19]  The Real Term Structure and Consumption Growth , 1988 .

[20]  J. Wooldridge,et al.  A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.

[21]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[22]  Stephen G. Cecchetti,et al.  Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns , 1992 .

[23]  Philip H. Dybvig.  An explicit bound on individual assets' deviations from APT pricing in a finite economy , 1983 .

[24]  M. Rothschild,et al.  Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets , 1982 .

[25]  Stephen F. LeRoy,et al.  The Present-Value Relation: Tests Based on Implied Variance Bounds , 1981 .

[26]  Mark Rubinstein,et al.  An aggregation theorem for securities markets , 1974 .

[27]  R. Stambaugh,et al.  On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis , 1982 .

[28]  R. Stambaugh,et al.  A Mean-Variance Framework for Tests of Asset Pricing Models , 1989 .

[29]  B. Efron,et al.  The Jackknife: The Bootstrap and Other Resampling Plans. , 1983 .

[30]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[31]  Gregory Connor,et al.  Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis , 1985 .

[32]  Jonathan E. Ingersoll,et al.  Some Results in the Theory of Arbitrage Pricing , 1984 .

[33]  R. Stambaugh,et al.  Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas , 1987 .

[34]  B. Flesaker,et al.  Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing , 1993 .

[35]  Philippe Jorion,et al.  Interest rates and risk premia in the stock market and in the foreign exchange market , 1987 .

[36]  Consumption Risk and International Asset Returns: Some Empirical Evidence , 1987 .

[37]  C. Engel,et al.  Tests of International CAPM with Time-Varying Covariances , 1987 .

[38]  Kenneth J. Singleton,et al.  Modeling the term structure of interest rates under non-separable utility and durability of goods , 1986 .

[39]  L. Hansen,et al.  Chapter Title: Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models , 1983 .

[40]  A. Craig MacKinlay,et al.  Using Generalized Method of Moments to Test Mean‐Variance Efficiency , 1991 .

[41]  Orazio Attanasio,et al.  Risk, Time-Varying Second Moments and Market Efficiency , 1991 .

[42]  A. Beja.  The Structure of the Cost of Capital under Uncertainty , 1971 .

[43]  Gur Huberman,et al.  Mimicking Portfolios and Exact Arbitrage Pricing , 1987 .

[44]  A. Kleidon.  Variance Bounds Tests and Stock Price Valuation Models , 1986, Journal of Political Economy.

[45]  Adrian Pagan,et al.  Alternative Models for Conditional Stock Volatility , 1989 .

[46]  M. Shapiro,et al.  Risk and Return: Consumption Versus Market Beta , 1984 .

[47]  J. Campbell,et al.  Predictable bond and stock returns in the United States and Japan : a study of long-term capital market integration , 1988 .

[48]  B. Bernanke,et al.  Agency Costs, Net Worth, and Business Fluctuations , 1988 .

[49]  Shmuel Kandel.  The Geometry of the Maximum Likelihood Estimator of the Zero-Beta Return , 1986 .

[50]  J. Cochrane.  A Cross-Sectional Test of a Production-Based Asset Pricing Model , 1992 .

[51]  Gautam Kaul,et al.  Stock returns and inflation: The role of the monetary sector , 1987 .

[52]  Hua He,et al.  Market Frictions and Consumption-Based Asset Pricing , 1995, Journal of Political Economy.

[53]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis , 1991, Journal of Political Economy.

[54]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[55]  R. C. Merton,et al.  AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .

[56]  L. Hansen.  A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators , 1985 .

[57]  Robert F. Engle,et al.  A multi-dynamic-factor model for stock returns , 1992 .

[58]  R. Gibbons,et al.  Empirical Tests of the Consumption-Oriented CAPM , 1989 .

[59]  Yasushi Hamao,et al.  Predictable Stock Returns in the United States and Japan: a Study of Long-Term Capital Market Integration , 1989 .

[60]  J. Campbell.  Intertemporal Asset Pricing Without Consumption Data , 1992 .

[61]  A. Gallant,et al.  Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications , 1989 .

[62]  Stephen A. Ross,et al.  A Test of the Efficiency of a Given Portfolio , 1989 .

[63]  Stephen R. Foerster.  Asset pricing models with changing expectations : an empirical study , 1987 .

[64]  Richard Roll.  A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency , 1985 .

[65]  K. French,et al.  Expected stock returns and volatility , 1987 .

[66]  Matthew Richardson,et al.  Tests of financial models in the presence of overlapping observations , 1991 .

[67]  Suresh M. Sundaresan,et al.  Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth , 1989 .

[68]  Darrell Duffie,et al.  Asset Pricing with Heterogeneous Consumers , 1996, Journal of Political Economy.

[69]  L. Hansen,et al.  Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models , 1982 .

[70]  Erzo G. J. Luttmer.  Asset pricing in economies with frictions , 1996 .

[71]  C. Gouriéroux,et al.  Qualitative threshold arch models , 1992 .

[72]  R. Lucas.  ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[73]  J. Cochrane.  Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations , 1991 .

[74]  G. Schwert.  Business Cycles, Financial Crises, and Stock Volatility , 1989 .

[75]  R. Cumby.  Is it Risk? Explaining Deviations from Uncovered Interest Parity , 1987 .

[76]  H. White.  A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .

[77]  S. Ross,et al.  An Empirical Investigation of the Arbitrage Pricing Theory , 1980 .

[78]  Geert Bekaert,et al.  Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets , 1991 .

[79]  E. Fama.  Stock Returns, Expected Returns, and Real Activity , 1990 .

[80]  E. Fama,et al.  Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.

[81]  Mark Rubinstein,et al.  The Valuation of Uncertain Income Streams and the Pricing of Options , 1976 .

[82]  Sudipto Bhattacharya,et al.  Notes on Multiperiod Valuation and the Pricing of Options , 1981 .

[83]  A. Lewbel,et al.  Exact Aggregation and a Representative Consumer , 1989 .

[84]  J. Poterba,et al.  Mean Reversion in Stock Prices: Evidence and Implications , 1987 .

[85]  E. Fama,et al.  Efficient Capital Markets : II , 2007 .

[86]  L. Chan.  Consumption, Inflation Risk, and Real Interest Rates: An Empirical Analysis , 1994 .

[87]  R. Bharati,et al.  The effect of time-varying covariances on asset risk premia , 1996 .

[88]  A. Hall,et al.  Are consumption-based intertemporal capital asset pricing models structural?☆ , 1990 .

[89]  Sheridan Titman,et al.  The Relation between Mean-Variance Efficiency and Arbitrage Pricing , 1987 .

[90]  Robert E. Hall.  Intertemporal Substitution in Consumption , 1988 .

[91]  A. Lo,et al.  Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1987 .

[92]  George Tauchen,et al.  Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data , 1986 .

[93]  John B. Long,et al.  Stock prices, inflation, and the term structure of interest rates , 1974 .

[94]  E. Fama,et al.  Permanent and Temporary Components of Stock Prices , 1988, Journal of Political Economy.

[95]  S. Ross,et al.  A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .

[96]  P. Wachtel,et al.  Interpreting the Movements in Short-Term Interest Rates , 1992 .

[97]  William F. Sharpe,et al.  Capital Asset Prices With and Without Negative Holding , 1991 .

[98]  Phillippe Michel,et al.  On the Transversality Condition in Infinite Horizon Optimal Problems , 1982 .

[99]  Yasushi Hamao,et al.  An empirical examination of the Arbitrage Pricing Theory: Using Japanese data , 1988 .

[100]  Douglas T. Breeden.  An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities , 1979 .

[101]  G. Jenkins,et al.  Time series analysis, forecasting and control , 1971 .

[102]  M. Eichenbaum,et al.  A Time Series Analysis of Representative Agent Models of Consumption Andleisure Choice Under Uncertainty , 1986 .

[103]  Lars Peter Hansen,et al.  Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution , 1990 .

[104]  Jay Shanken,et al.  Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note , 1986 .

[105]  L. Hansen,et al.  Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors , 1997 .

[106]  R. Hall.  Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence , 1978, Journal of Political Economy.

[107]  Campbell R. Harvey.  The World Price of Covariance Risk , 1991 .

[108]  K. Lewis.  The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes , 1990 .

[109]  W. Ferson.  Changes in Expected Security Returns, Risk, and the Level of Interest Rates , 1989 .

[110]  L. Ermini.  Reinterpreting a Temporally Aggregated Consumption CAP Model , 1991 .

[111]  E. Fama.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[112]  R. Shiller,et al.  The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .

[113]  Ravi Jagannathan,et al.  Assessing Specification Errors in Stochastic Discount Factor Models , 1994 .

[114]  Evan L. Porteus,et al.  Temporal Resolution of Uncertainty and Dynamic Choice Theory , 1978 .

[115]  Robert B. Wilson.  THE THEORY OF SYNDICATES , 1968 .

[116]  A. Buse,et al.  Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices , 1994, Journal of Financial and Quantitative Analysis.

[117]  B. Mcdonald,et al.  Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics , 1990, Journal of Financial and Quantitative Analysis.

[118]  Ching-Sheng Mao.  Hypothesis Testing and Finite Sample Properties of Generalized Method of Moments Estimators: A Monte Carlo Study , 1990 .

[119]  Donald B. Keim,et al.  Predicting returns in the stock and bond markets , 1986 .

[120]  Narayana R. Kocherlakota,et al.  On tests of representative consumer asset pricing models , 1990 .

[121]  R. Stambaugh,et al.  Expectations and Volatility of Consumption and Asset Returns , 1990 .

[122]  R. Hodrick.  Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .

[123]  Ravi Jagannathan,et al.  Implications of Security Market Data for Models of Dynamic Economies , 1990, Journal of Political Economy.

[124]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework , 1989 .

[125]  J. D. Jobson,et al.  Potential performance and tests of portfolio efficiency , 1982 .

[126]  Gur Huberman,et al.  A simple approach to arbitrage pricing theory , 1982 .

[127]  E. Fama.  Stock Returns, Real Activity, Inflation, and Money , 1981 .

[128]  E. Fama,et al.  The Cross‐Section of Expected Stock Returns , 1992 .

[129]  W. Sharpe.  CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[130]  Karl N. Snow.  Diagnosing Asset Pricing Models Using the Distribution of Asset Returns , 1991 .

[131]  R. Stambaugh.  The information in forward rates: Implications for models of the term structure , 1988 .

[132]  G. Constantinides,et al.  Habit Persistence and Durability in Aggregate Consumption: Empirical Tests , 1991 .

[133]  R. Cumby,et al.  Investigating the correlation of unobserved expectations: Expected returns in equity and foreign exchange markets and other examples☆ , 1992 .

[134]  L. Hansen,et al.  Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns , 1983, Journal of Political Economy.

[135]  Fernando Zapatero,et al.  Asset prices in an exchange economy with habit formation , 1991 .

[136]  B. Bernanke,et al.  On the Predictive Power of Interest Rates and Interest Rate Spreads , 1990 .

[137]  F. Black.  Capital Market Equilibrium with Restricted Borrowing , 1972 .

[138]  S. Ross.  The arbitrage theory of capital asset pricing , 1976 .

[139]  Simon M. Wheatley.  A critique of latent variable tests of asset pricing models , 1989 .

[140]  Jay Shanken.  On the Estimation of Beta-Pricing Models , 1992 .

[141]  J. Campbell.  Stock Returns and the Term Structure , 1985 .

[142]  Shmuel Kandel.  The likelihood ratio test statistic of mean-variance efficiency without a riskless asset , 1984 .

[143]  Gautam Kaul,et al.  Asymmetric Predictability of Conditional Variances , 1991 .

[144]  Jay Shanken,et al.  Multivariate tests of the zero-beta CAPM , 1985 .

[145]  A. Gallant,et al.  Nonlinear Statistical Models , 1988 .

[146]  W. Ferson.  Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests , 1983, Journal of Financial and Quantitative Analysis.

[147]  Russell P. Robins,et al.  Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .

[148]  Richard Roll,et al.  The Fiscal and Monetary Linkage between Stock Returns and Inflation , 1983 .

[149]  Wayne E. Ferson,et al.  Are the Latent Variables in Time‐Varying Expected Returns Compensation for Consumption Risk? , 1990 .

[150]  Irwin Friend,et al.  Risk and return in finance , 1977 .

[151]  P. Schmidt,et al.  A Monte Carlo investigation of the accuracy of multivariate CAPM tests , 1985 .

[152]  Wayne E. Ferson,et al.  Seasonality and Consumption-Based Asset Pricing , 1992 .

[153]  David A. Hsieh,et al.  An exploratory investigation of the firm size effect , 1985 .

[154]  Campbell R. Harvey,et al.  The Variation of Economic Risk Premiums , 1990, Journal of Political Economy.

[155]  A. Mackinlay.  On multivariate tests of the CAPM , 1987 .

[156]  Andrew B. Abel,et al.  Asset Prices Under Habit Formation and Catching Up with the Joneses , 1990 .

[157]  Gregory Connor,et al.  Risk and Return in an Equilibrium Apt: Application of a New Test Methodology , 1988 .

[158]  J. Cochrane,et al.  Volatility Tests and Efficient Markets: A Review Essay , 1991 .

[159]  Sanjay Srivastava,et al.  An Investigation of Risk and Return in Forward Foreign Exchange , 1983 .

[160]  Daniel B. Nelson.  CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[161]  Richard Roll,et al.  A Critique of the Asset Pricing Theory''s Tests: Part I , 1977 .

[162]  Bruce N. Lehmann,et al.  The empirical foundations of the arbitrage pricing theory , 1988 .

[163]  Jay Shanken,et al.  Multivariate proxies and asset pricing relations: Living with the Roll critique , 1987 .

[164]  S. Nickell.  Dynamic Models with Fixed Effects , 1984 .

[165]  William F. Sharpe,et al.  Factor models, CAPMs,and the ABT , 1984 .

[166]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[167]  R. Huang.  An Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts , 1989 .

[168]  George L. Nemhauser,et al.  Handbooks in operations research and management science , 1989 .

[169]  K. Singleton.  Specification and estimation of intertemporal asset pricing models , 1990 .

[170]  Lars Peter Hansen,et al.  THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1 , 1987 .

[171]  W. Ferson,et al.  Testing asset pricing models with changing expectations and an unobservable market portfolio , 1985 .

[172]  Wayne E. Ferson,et al.  Finite sample properties of the generalized method of moments in tests of conditional asset pricing models , 1994 .

[173]  Jeffrey A. Miron,et al.  Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption , 1986, Journal of Political Economy.

[174]  Stephen R. Foerster,et al.  General Tests of Latent Variable Models and Mean-Variance Spanning , 1993 .

[175]  Gregory Connor,et al.  A Unified Beta Pricing Theory , 1984 .

[176]  Nai-fu Chen,et al.  Financial Investment Opportunities and the Macroeconomy , 1991 .

[177]  E. Fama,et al.  BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS , 1989 .

[178]  S. Ross,et al.  Economic Forces and the Stock Market , 1986 .

[179]  W. M. Gorman.  Community Preference Fields , 1953 .

[180]  Geoffrey Heal,et al.  Optimal Growth with Intertemporally Dependent Preferences , 1973 .

[181]  Sheridan Titman,et al.  Factor pricing in a finite economy , 1983 .

[182]  Thomas A. Rietz.  The equity risk premium a solution , 1988 .

[183]  R. C. Merton,et al.  On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .

[184]  R. Mehra,et al.  THE EQUITY PREMIUM A Puzzle , 1985 .

[185]  Haim Levy,et al.  Financial decision making under uncertainty , 1979 .

[186]  Gary Chamberlain,et al.  FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELS , 1983 .

[187]  Robert J. Shiller,et al.  Cointegration and Tests of Present Value Models , 1987, Journal of Political Economy.

[188]  E. Fama,et al.  Dividend yields and expected stock returns , 1988 .

[189]  E. Fama,et al.  Common risk factors in the returns on stocks and bonds , 1993 .

[190]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[191]  Robert A. Korajczyk,et al.  Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? , 1995 .

[192]  G. Constantinides,et al.  Time Nonseparability in Aggregate Consumption: International Evidence , 1992 .

[193]  Jacob A Frenkel.  Exchange Rates and International Macroeconomics , 1983 .

[194]  Donald B. Keim.  SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical Evidence , 1983 .

[195]  James N. Bodurtha,et al.  Testing the CAPM with Time-Varying Risks and Returns , 1991 .

[196]  R. Stambaugh,et al.  Asset Returns and Intertemporal Preferences , 1991 .

[197]  Dennis E. Logue,et al.  Foundations of Finance. , 1977 .

[198]  N. Mankiw,et al.  The Equity Premium and the Concentration of Aggregate Shocks , 1986 .

[199]  Gur Huberman,et al.  Mean-Variance Spanning , 1987 .

[200]  G. Schwert,et al.  Heteroskedasticity in Stock Returns , 1989 .

[201]  G. William Schwert,et al.  Asset returns and inflation , 1977 .

[202]  Michael R. Gibbons,et al.  Inflation, real returns and capital investment , 1982 .

[203]  J. Lintner.  THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[204]  Haim Reisman,et al.  Reference Variables, Factor Structure, and the Approximate Multibeta Representation , 1992 .

[205]  J. Campbell,et al.  The Term Structure of Euromarket Interest Rates: an Empirical Investigation , 1986 .

[206]  Martin D. D. Evans.  Expected Returns, Time-Varying Risk and Risk Premia , 1994 .

[207]  J. Kmenta.  Latent variables in econometrics , 1991 .

[208]  Larry G. Epstein.  Advances in Economic Theory: Behavior under risk: recent developments in theory and applications , 1993 .

[209]  W. Newey,et al.  Generalized method of moments specification testing , 1985 .

[210]  Ronald J. Lanstein,et al.  Persuasive evidence of market inefficiency , 1985 .

[211]  Lilian Ng.  Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach , 1991 .

[212]  Daniel B. Nelson,et al.  Good News, Bad News, Volatility, and Betas , 1995 .

[213]  D. Choi,et al.  The relation between stock returns and short-term interest rates , 1991 .

[214]  Simon M. Wheatley.  Some tests of international equity integration , 1988 .

[215]  G. Schwert.  Why Does Stock Market Volatility Change Over Time? , 1988 .