Capital Asset Pricing Model Tests in a Term Structure Context
Capital Asset Pricing Model Tests in a Term Structure Context
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047 0. 049 (b) Orthojionalized Market Return Variable 1/ 1^1, 236^'^-^'^) '-' ^'^'' 2/ Fi^236^^5^^ ^ ^'^3 TIO Table 5 F-test statistics for the hypothesis that the real "betas" and conditional expected returns on long term bonds are constant over the period March 1959 to December 1978.
Value Weighted Market Index Orthogonalized Market Index Bond Instrumental Portfolio Variable OLS 1 3. 2. 78 0. 000 2 2. 5155 0. 967 3 0. 1205 0. 433 4 0. 0836 0. 348 5 0. 0702 0. 106 6 0. 1332 0. 589 1/' Fi, 236(...95%) - 3. 84 y Fl 230^55^") ^ ^'^2' Instruraen ital Variabl . E OLS 0. 561 0. 000 0. 372 0. 870 0. 076 0. 405 0. 060 0. 312 0. 033 0. 079 0. 354 0. 512 -38- FOOTNOTES 1. The term "instrumental variable" is not used in tlds section strictly in its usual econometric meaning: here, it is e (possibly unobservable) index of optiiiial portfolio composition in the constant beta casee 2. Strictly, E(R . ) should be vnritten E(R. |R ) in (1). For simplicity, the conditioning is made explicit only where necessary to avoid confusion.
What to read after Capital Asset Pricing Model Tests in a Term Structure Context?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
047 0. 049 (b) Orthojionalized Market Return Variable 1/ 1^1, 236^'^-^'^) '-' ^'^'' 2/ Fi^236^^5^^ ^ ^'^3 TIO Table 5 F-test statistics for the hypothesis that the real "betas" and conditional expected returns on long term bonds are constant over the period March 1959 to December 1978.
Value Weighted Market Index Orthogonalized Market Index Bond Instrumental Portfolio Variable OLS 1 3. 2. 78 0. 000 2 2. 5155 0. 967 3 0. 1205 0. 433 4 0. 0836 0. 348 5 0. 0702 0. 106 6 0. 1332 0. 589 1/' Fi, 236(...95%) - 3. 84 y Fl 230^55^") ^ ^'^2' Instruraen ital Variabl . E OLS 0. 561 0. 000 0. 372 0. 870 0. 076 0. 405 0. 060 0. 312 0. 033 0. 079 0. 354 0. 512 -38- FOOTNOTES 1. The term "instrumental variable" is not used in tlds section strictly in its usual econometric meaning: here, it is e (possibly unobservable) index of optiiiial portfolio composition in the constant beta casee 2. Strictly, E(R . ) should be vnritten E(R. |R ) in (1). For simplicity, the conditioning is made explicit only where necessary to avoid confusion.
What to read after Capital Asset Pricing Model Tests in a Term Structure Context?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
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