Asset Pricing Model Specification and the Term Structure Evidence / Terry A. Marsh.

Format:

Book

Author/Creator:

Marsh, Terry A.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w1612.

NBER working paper series no. w1612

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1985.

Summary:

In this paper, a set of tests of models of relative capital asset pricesis developed. The tests are used to examine how well the models explain maturity premiums on Government bonds, though they are perfectly general and hence could be applied to stocks or other assets. Allowance is made in the tests for the nonobservability of investors' optimal per capita consumption (or expected marginal utility). It is found that the returns on Government bonds bear a systematic risk which is better measured by their covariability with aggregate per capita consumption than with the returns on the NYSE stock market index, the latter being the surrogate-wealth portfolio typically used to measure risk in the traditional Sharpe-Lintner-Mossin CAPM.

Notes:

Print version record

April 1985.