The Role of Conditioning Information in Deducing Testable
The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. The authors derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset pricing models on the unconditional moments of asset payoffs and prices. In particular, they analyze the effect of information omission on the mean-variance frontier of one- period returns on portfolios of securities. Also, the authors deduce an information extension of equilibrium pricing functions that is useful in deriving restrictions on the unconditional moments of payoffs and prices. Copyright 1987 by The Econometric Society.
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Volume (Year): 55 (1987)
Issue (Month): 3 (May)
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