CHANGES IN EXPECTED SECURITY RETURNS, RISK, AND THE LEVEL OF INTEREST-RATES

被引:98
作者
FERSON, WE
机构
关键词
D O I
10.2307/2328639
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:1191 / 1217
页数:27
相关论文
共 46 条
[1]  
Beja Avraham, 1971, REV ECON STUD, V4, P359
[2]  
BODURTHA JN, 1988, TESTING CAPM TIME VA
[3]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[4]   ECONOMIC-SIGNIFICANCE OF PREDICTABLE VARIATIONS IN STOCK INDEX RETURNS [J].
BREEN, W ;
GLOSTEN, LR ;
JAGANNATHAN, R .
JOURNAL OF FINANCE, 1989, 44 (05) :1177-1189
[5]   A SIMPLE ECONOMETRIC-APPROACH FOR UTILITY-BASED ASSET PRICING-MODELS [J].
BROWN, DP ;
GIBBONS, MR .
JOURNAL OF FINANCE, 1985, 40 (02) :359-381
[6]   STOCK RETURNS AND THE TERM STRUCTURE [J].
CAMPBELL, JY .
JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (02) :373-399
[7]   AN UNCONDITIONAL ASSET-PRICING TEST AND THE ROLE OF FIRM SIZE AS AN INSTRUMENTAL VARIABLE FOR RISK [J].
CHAN, KC ;
CHEN, NF .
JOURNAL OF FINANCE, 1988, 43 (02) :309-325
[8]   RISK AND INFLATION [J].
CHANG, EC ;
PINEGAR, JM .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1987, 22 (01) :89-99
[9]   THE BEHAVIOR OF UNITED-STATES SHORT-TERM INTEREST-RATES SINCE OCTOBER 1979 [J].
CLARIDA, RH ;
FRIEDMAN, BM .
JOURNAL OF FINANCE, 1984, 39 (03) :671-682
[10]  
CONNOR G, 1987, 39 NW U WORK PAP