The Independence Axiom and Asset Returns

@inproceedings{Larry1991TheIA,
  title={The Independence Axiom and Asset Returns},
  author={G. Larry and Epsteiny and Eugene Stanley and ZinzJuly},
  year={1991}
}
  • G. Larry, Epsteiny, +1 author ZinzJuly
  • Published 1991
This paper integrates models of atemporal risk preference that relax the independence axiom, into a recursive intertemporal asset-pricing framework. The resulting models are amenable to empirical analysis using market data and standard Euler equation methods. We are thereby able to provide the rst non-laboratory-based evidence regarding the usefulness of several new theories of risk preference for addressing standard problems in dynamic economics. Using both stock and bond returns data, we nd… CONTINUE READING

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