TY - JOUR
T1 - Is the ex ante risk premium always positive?
T2 - A new approach to testing conditional asset pricing models
AU - Boudoukh, Jacob
AU - Richardson, Matthew
AU - Smith, Tom
PY - 1993
Y1 - 1993
N2 - This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation and especially to downward-sloping term structures.
AB - This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation and especially to downward-sloping term structures.
KW - ex ante risk premium
KW - inequality restrictions
KW - conditional asset pricing models
UR - http://www.scopus.com/inward/record.url?scp=38248998950&partnerID=8YFLogxK
U2 - 10.1016/0304-405X(93)90033-8
DO - 10.1016/0304-405X(93)90033-8
M3 - Article
AN - SCOPUS:38248998950
SN - 0304-405X
VL - 34
SP - 387
EP - 408
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 3
ER -