JaLCDOI 10.18926/OER/41790
フルテキストURL oer_025_4_315_331.pdf
著者 谷川 寧彦|
抄録 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.
出版物タイトル 岡山大学経済学会雑誌
発行日 1994-03-10
25巻
4号
開始ページ 315
終了ページ 331
ISSN 0386-3069
言語 English
論文のバージョン publisher
NAID 110000129738
JaLCDOI 10.18926/OER/41764
タイトル(別表記) Japanese Evidence on Consumption-Based Capital Asset Pricing Model
フルテキストURL oer_025_3_315_332.pdf
著者 谷川 寧彦|
出版物タイトル 岡山大学経済学会雑誌
発行日 1994-02-25
25巻
3号
開始ページ 315
終了ページ 332
ISSN 0386-3069
言語 Japanese
論文のバージョン publisher
NAID 110000129708