Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

Wayne E Ferson, Shmuel Kandel and Robert Stambaugh

Journal of Finance, 1987, vol. 42, issue 2, 201-20

Abstract: Tests of asset-pricing models are developed that allow expected risk premiums and market betas to vary over time. These tests exploit the relation between expected excess returns and current market values. Using weekly data for 1963-82 on ten common stock portfolios formed according to equity capitalization, a single risk-premium model is not rejected if the expected premium is time varying and is not constrained to correspond to a market factor. Conditional mean-variance efficiency of a value-weighted stock index is rejected, and the rejection is insensitive to how much variability of expected risk premiums is assumed. Copyright 1987 by American Finance Association.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (58)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819870 ... O%3B2-0&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:42:y:1987:i:2:p:201-20

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().