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ID 41790
FullText URL
Author
Tanigawa, Yasuhiko
Abstract
Constructing IMRSs from asset market data has an advantage, that is we need not rely on troublesome consumption data. When we observe a subset of the market, however, there are two problems. First, the constructed IMRSs may not price the other assets. Second, we may also end up insufficient number of factors. These two difficulties lead to mis-pricing of APT. We find an IMRS constructed from only stock market data does not price the Government long-maturity bonds. Using both the stock returns and the one-month Treasury bill returns, this mispricing disappears. We also find that five factors extracted from both the stock returns and the Treasury bill return satisfies the condition for APT implied by the Euler equation.
Note
論説 (Article)
Published Date
1994-03-10
Publication Title
岡山大学経済学会雑誌
Publication Title Alternative
Okayama Economic Review
Volume
volume25
Issue
issue4
Publisher
岡山大学経済学会
Publisher Alternative
The Economic Association of Okayama University
Start Page
315
End Page
331
ISSN
0386-3069
NCID
AN00032897
Content Type
Journal Article
language
英語
File Version
publisher
Refereed
True
Eprints Journal Name
oer