IS THE EX-ANTE RISK PREMIUM ALWAYS POSITIVE - A NEW APPROACH TO TESTING CONDITIONAL ASSET PRICING-MODELS

• 成果类型: Article
• 署名作者: BOUDOUKH, J; RICHARDSON, M; SMITH, T
• 署名单位: University of Pennsylvania; New York University; Duke University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(93)90033-8
• 发表日期: 1993
• 页码: 387-408
• 关键词: EX-ANTE RISK PREMIUM; INEQUALITY RESTRICTIONS; CONDITIONAL ASSET PRICING MODELS; JEL CLASSIFICATION; G12; C22

摘要

This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation and especially to downward-sloping term structures.