## Inflation risk and capital asset pricing |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Common terms and phrases

Appendix II-l asset in real beta beta coefficients bias of H biased upward capital asset pricing CAPM Chapter CN CN consumption corrected Cov(r defined deflation E(rj effects of inflation empirical results empirical tests equation 2.6a estimates of E(y estimates of H evaluate Fama and Macbeth hypothesis implies inflation risk inflationary intercept term investors January least squares estimates market portfolio measurement errors model H model SLM nominal interest rate nominal rate null hypothesis obtain parameter H period under testing price level purchasing power random variable rate of inflation rate of interest rate of return rE(y real rate real terms regression return on security risk measure risk-free interest rate riskless asset sample periods Section security market line security returns SLM and Model SLM model stock market index structure of security summarized testable tests on model theoretical value tion value of H whole period