AN EQUILIBRIUM-MODEL OF BOND PRICING AND A TEST OF MARKET-EFFICIENCY

被引:105
作者
BRENNAN, MJ
SCHWARTZ, ES
机构
关键词
D O I
10.2307/2330832
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:301 / 329
页数:29
相关论文
共 14 条
[1]  
Aitken A., 1936, P ROY SOC EDINB, V55, P42, DOI [10.1017/S0370164600014346, DOI 10.1017/S0370164600014346]
[2]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[3]  
Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]
[4]   CONDITIONAL PREDICTIONS OF BOND PRICES AND RETURNS [J].
BRENNAN, MJ ;
SCHWARTZ, ES .
JOURNAL OF FINANCE, 1980, 35 (02) :405-417
[5]  
BRENNAN MJ, 1981, 793 U BRIT COL WORK
[6]  
COX JC, 1978, 468 STANF U RES PAP
[7]   EQUIVALENCE OF ITERATIVE AITKEN AND MAXIMUM LIKELIHOOD ESTIMATORS FOR A SYSTEM OF REGRESSION EQUATIONS [J].
DHRYMES, PJ .
AUSTRALIAN ECONOMIC PAPERS, 1971, 10 (16) :20-24
[9]  
MCKEAN HD, 1968, STOCHASTIC INTEGRALS
[10]   THEORY OF RATIONAL OPTION PRICING [J].
MERTON, RC .
BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183