作者：SHANKEN, J
作者单位：Carnegie Mellon University
摘要：An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptoti...
作者：KAZEMI, HB
摘要：A testable single-beta model of asset prices is presented. If state variables have a long-run stationary joint density function, then the rate return on a very long-term default-free discount bond will be perfectly correlated with the representative investor's marginal utility of consumption. Thus, the covariance of an asset's return with the return on such a bond will be an appropriate measure of the asset's riskiness. The model can be, therefore, applied or tested even though the market port...
