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Estimation and test of a simple model of intertemporal capital asset pricing
A simple valuation model with time-varying investment opportunities is developed and estimated. The model assumes that the investment opportunity se is completely described by the real interest rate and the maximum sharpe ratio, which follow correlated Ornstein- Uhlenbeck processes. the model parameters and time series of the state variables are estimated using U.S. Treasury bond yields and expected inflation from January 1952 to December 2000, and as predicted, the estimated maximum sharpe ratio is related to the equity premium..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | The American Finance Associaion., |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |