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Changes in Expected Security Returns, Risk, and the Level of Interest Rates

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  • Ferson, Wayne E

Abstract

Regression of security returns on treasury bill rates provide insight about the behavior of risk in rational asset pricing models. The information in one-month bill rates implies time variation in the conditional covariances of portfolios of stocks and fixed-income securities with benchmark pricing variables over extended samples and within five-year subperiods. There is evidence of changes in conditional "betas" associated with interest rates. Consumption and stock market data are examined as proxies for marginal utility in a general framework for asset pricing with time-varying conditional covariances. Copyright 1989 by American Finance Association.

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  • Ferson, Wayne E, 1989. "Changes in Expected Security Returns, Risk, and the Level of Interest Rates," Journal of Finance, American Finance Association, vol. 44(5), pages 1191-1217, December.
    • Handle: RePEc:bla:jfinan:v:44:y:1989:i:5:p:1191-1217
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