Filtro per: Creatore Zin, Stanley E. Cancella il filtro Creatore: Zin, Stanley E.
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Alpha Creator Tesim: Backus, David., Gregory, Alan., and Zin, Stanley E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 429 Abstract Tesim: We compare the statistical properties of prices of U.S. treasury bills to those generated by a theoretical dynamic exchange economy with complete markets. We show that the model can account for neither the sign nor the magnitude of average risk premiums in forward prices and holding-period returns. The economy is also incapable of generating enough variation in risk premiums to account for rejections of the expectations hypothesis with treasury bill data. These conclusions add to the growing list of empirical deficiencies of the representative agent model of asset pricing. Parola chiave: Autoregressive heteroskedasticity, Holding-period returns, Expectations hypothesis, and Forward prices Soggetto: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates