The Zero-Beta Interest Rate
收藏NBER2023-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w31596
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资源简介：
We use equity returns to construct a time-varying measure of the interest rate that we call the zero-beta rate: the expected return of a stock portfolio orthogonal to the stochastic discount factor. The zero-beta rate is high and volatile. In contrast to safe rates, the zero-beta rate fits the
提供机构：
美国国家经济研究局
创建时间：
2023-08-01
