On Construction of Stochastic Pricing Operator from Asset Market Data (橋本博之教授退官記念号)

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概要

• 論文の詳細を見る

• 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 mispricingdisappears. We also find that five factors extracted from both the stock returns and the Treasury bill return satisfies the condition forAPT implied by the Euler equation.

• 岡山大学の論文
• 1994-03-10

著者

• 谷川 寧彦

  岡山大学経済学部

• 谷川 寧彦

  Okayama University, Faculty of Economics

関連論文

• On Construction of Stochastic Pricing Operator from Asset Market Data (橋本博之教授退官記念号)
• 消費データを用いた資産価格の実証分析 (土生芳人教授退官記念号)

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