A rational pricing explanation for the failure of the CAPM

被引:0
作者
Guo, H [1 ]
机构
[1] Fed Reserve Bank, St Louis, MO USA
来源
FEDERAL RESERVE BANK OF ST LOUIS REVIEW | 2004年 / 86卷 / 03期
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暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns-possibility because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g.. a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First. the evidence on the predictability of returns is summarized; then, an example from Campbell (1993) is used to show how time-varying expected returns can lead to the rejection of the CAPM.
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页码:23 / +
页数:12
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