A model of asset prices is developed that is in principle testable even when agg regate consumption of goods and their market prices are only partiall y observable. The author shows that if there are m consumption goods, expected returns on securities can be expressed in terms of covarian ces of...

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...

A testable single-beta model of asset prices is presented. If state variables have a long-run stationary joint density function, then the rate return on a very long-term default-free discount bond will be perfectly correlated with the representative investor's marginal utility of consumption....

The authors know that, when currencies are perfect substitutes, exchange rates could become indeterminate. They show that, even when currencies are less than perfect substitutes, exchange rates could display volatility unrelated to economic fundamentals. With increases in currency substitution...

Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its...