SHOULD THE HOLDING PERIOD MATTER FOR THE INTERTEMPORAL CONSUMPTION-BASED CAPM
成果类型：
Article
署名作者：
LEWIS, KK
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(91)90031-I
发表日期：
1991
页码：
365-389
关键词：
摘要：
Empirical studies of the restrictions implied by the intertemporal capital asset pricing model across different asset markets have found conflicting evidence. This paper asks whether an auxiliary assumption implicit in these tests could be responsible for the pattern of rejections. This auxiliary assumption requires that covariances of returns with consumption move in constant proportion over time. The paper tests this condition empirically using data on foreign exchange, bonds, and equity returns. Interestingly, the evidence suggests that the tendency to reject the intertemporal consumption-based asset pricing relationship depends upon the inadequacy of the auxiliary assumption, not necessarily the relationship itself.
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