Estimation And Test of A Simple Model of Intertemporal Capital Asset Pricing  

Oleh:

Wang, Ashley W. ; Brennan, Michael J. ; Xia, Yihong

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 4 (Aug. 2004), page 1743-1776.
Topik: capital asset pricing model; CAPM; studies; valuation; interest rates; correlation analysis; investments
Fulltext: p 1743.pdf (252.02KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A simple valuation model with time - varying investment opportunities is developed and estimated. The model assumes that the investment opportunities set is completely described by the real interest rate and the maximum Sharpe ratio, which follow correlated Orstein - Uhlenbeck processes. The model parameters and time series of the state variables are estimated using US Treasury bond yields and expected inflation from January 1952 to December 2000, and as predicted, the estimated maximum Sharpe ratio is related to the equity premium. In cross-sectional asset - pricing tests, both state variables have significant risk premia, which is consistent with Merton's ICAPM.

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