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General Tests of Latent Variable Models and Mean-Variance Spanning.
- Source :
- Journal of Finance (Wiley-Blackwell); Mar1993, Vol. 48 Issue 1, p131-156, 26p
- Publication Year :
- 1993
-
Abstract
- The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean-variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size-based common stock portfolios proxy for the risk factors, we reject the hypothesis that four of them describe the conditional expected returns of the other assets. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221082
- Volume :
- 48
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Finance (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 4653309
- Full Text :
- https://doi.org/10.1111/j.1540-6261.1993.tb04704.x