A test of the intertemporal asset pricing model
AbstractRestrictions that general equilibrium theory place upon average returns are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that equilibrium models which are not Arrow-Debreu economies are needed to rationalize the large average equity premium that prevailed during the last 90 years.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 81.
Date of creation: 1982
Date of revision:
Publication status: Published in Journal of Monetary Economics (Vol. 15, n.2, March 1985, pp.145-161)
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