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...

In this paper we present a simple model which explains convenience yields in line with Keynes' 'liquid stocks' theory. When the flows of demand and production of a commodity are not synchronised, stored inventories are the source of supply which absorbs demand fluctuations in periods between...

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...

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...

This paper discusses the determinants of the dispersion of beliefs of informed investors and the effects of this dispersion on the equilibrium level of asset prices in a noisy rational expectations model. It is shown that lower asset prices are usually associated with an increase in the...