作者：Campbell, CJ; Kazemi, HB; Nanisetty, P
作者单位：Iowa State University; University of Massachusetts System; University of Massachusetts Amherst
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 cros...
