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| Tekijä: | Patton, A.J. Timmermann, A. |
| Otsikko: | Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts |
| Lehti: | Journal of Financial Economics
2010 : DEC, VOL. 98:3 p. 605-625 |
| Asiasana: | pricing models finance bonds markets |
| Kieli: | eng |
| Tiivistelmä: | Many theories in finance indicate monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. This research paper presents new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations. |
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