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Changes in Expected Security Returns, Risk, and the Level of Interest Rates
Abstract
Regressions 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.
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Citations
Cited by
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
The Variation of Economic Risk Premiums
Ferson, W. E., & Harvey, C. R. (1991) · Journal of Political Economy · doi:10.1086/261755 · Cited by 1,732
Self-citationConditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Self-citationFirm Size and Cyclical Variations in Stock Returns
Perez‐Quiros, G., & Timmermann, A. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00246 · Cited by 655
De Santis, G., & Gérard, B. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00029-4 · Cited by 506
Metadata
- Authors
- FERSON, W. E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1989-12
- Volume
- 44
- Issue
- 5
- Pages
- 1191-1217
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2138113134
- Cited by
- 247
- References
- 0
- FWCI
- 14.40
- Type
- journal article
- Language
- en
- Open access
- closed
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- FERSON, W. E. (1989). Changes in Expected Security Returns, Risk, and the Level of Interest Rates. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1989.tb02650.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
