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Time-Varying Risk and Return in the Bond Market : A Test of a New Equilibrium Pricing Model

Campbell, Cynthia J. - 1999

This article uses bond market data to empirically test the asset pricing model of Kazemi (1992). According to this model the rate of return on a long-term, pure-discount, default-free bond will be perfectly correlated with changes in the marginal utility of the representative investor. The...

Persistent link: https://www.econbiz.de/10012789717