Time-varying risk and return in the bond market: A test of a new equilibrium pricing model

• 成果类型: Article
• 署名作者: Campbell, CJ; Kazemi, HB; Nanisetty, P
• 署名单位: Iowa State University; University of Massachusetts System; University of Massachusetts Amherst
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.3.631
• 发表日期: 1999
• 页码: 631
• 关键词: term structure; asset prices; interest-rates; consumption; arbitrage; INFORMATION; ECONOMY; STOCK

摘要

This article uses bond market data to empirically test the asset pricing model of Kazemi (1992). According to this model the rate of return on a long-term, pure-discount, default-free bond will be perfectly correlated with changes in the marginal utility of the representative investor. The covariability between financial asset returns acid returns on such a bond can therefore serve as a measure of the riskiness of assets. The aim of this study is to determine whether the model can explain cross-sectional differences in the monthly returns of bonds with different maturity dates. We estimate and test the restrictions imposed by the model on returns of default-free bonds, while allowing the conditional distribution of bond returns to be time varying. The model is rejected during the full sample period (1973-1995) and the subperiod (1973-1980) when the Federal Reserve's focus is on interest rates, while the model is not rejected during the subperiod (1981-1995) when the Federal Reserve's focus is on money supply.