Time-varying risk and return in the bond market: A test of a new equilibrium pricing model

被引:12
作者
Campbell, CJ [1 ]
Kazemi, HB
Nanisetty, P
机构
[1] Iowa State Univ, Dept Finance, Coll Business, Ames, IA 50011 USA
[2] Univ Massachusetts, Amherst, MA 01003 USA
[3] Prudential Secur, New York, NY USA
关键词
D O I
10.1093/rfs/12.3.631
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
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 cross-sectional differences in the monthly returns of bonds with different maturity dates. We estimate and test the restrictions imposed by the model on returns of default-free bonds, while allowing the conditional distribution of bond returns to be time varying. The model is rejected during the full sample period (1973-1995) and the subperiod (1973-1980) when the Federal Reserve's focus is on interest rates, while the model is not rejected during the subperiod (1981-1995) when the Federal Reserve's focus is on money supply.
引用
收藏
页码:631 / 642
页数:12
相关论文
共 31 条
[1]  
[Anonymous], 1991, FINANC ANAL J
[2]   A NEW APPROACH TO INTERNATIONAL ARBITRAGE PRICING [J].
BANSAL, R ;
HSIEH, DA ;
VISWANATHAN, S .
JOURNAL OF FINANCE, 1993, 48 (05) :1719-1747
[3]   NO ARBITRAGE AND ARBITRAGE PRICING - A NEW APPROACH [J].
BANSAL, R ;
VISWANATHAN, S .
JOURNAL OF FINANCE, 1993, 48 (04) :1231-1262
[4]   ARBITRAGE-BASED ESTIMATION OF NONSTATIONARY SHIFTS IN THE TERM STRUCTURE OF INTEREST-RATES [J].
BLISS, RR ;
RONN, EI .
JOURNAL OF FINANCE, 1989, 44 (03) :591-610
[5]  
BLISS RR, 1988, ARBITRAGE BASED ESTI
[6]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[7]   CONSUMPTION, PRODUCTION, INFLATION AND INTEREST-RATES - A SYNTHESIS [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1986, 16 (01) :3-39
[8]  
Campbell J., 1997, The econometrics of financial markets, DOI DOI 10.1515/9781400830213
[9]   STOCK RETURNS AND THE TERM STRUCTURE [J].
CAMPBELL, JY .
JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (02) :373-399
[10]   TIME-VARYING RETURN AND RISK IN THE CORPORATE BOND MARKET [J].
CHANG, EC ;
HUANG, RD .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1990, 25 (03) :323-340