Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Timmermann, Allan
• 署名单位: University of California System; University of California San Diego; Duke University; University of Oxford
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.06.006
• 发表日期: 2010
• 页码: 605-625
• 关键词: Asset pricing models; Portfolio sorts; CAPM; Monotonicity tests

摘要

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work, however. This paper proposes new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as r-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations. (C) 2010 Elsevier B.V. All rights reserved.