In empirical tests of the capital asset pricing model, the theoretical risk-free asset is typically assumed to be 1-month Treasury bills. This article examines the implications of a misspecified risk-free asset—that is, the possibility that the true risk-free asset is a longer-maturity Treasury bond. A simple theoretical derivation leads to the testable prediction that low-beta (high-beta) stocks should then exhibit positive (negative) bond betas. The author finds strong empirical confirmation for these predictions. The market-implied risk-free asset can be pinpointed at medium-term (5-year) bonds. Concrete implications of this finding are a lower equity risk premium and a less steep security market line. TOPICS: Portfolio theory, portfolio construction, derivatives Key Findings • In empirical tests of the capital asset pricing model, the theoretical risk-free asset is typically assumed to be 1-month Treasury bills. This article examines the implications of a misspecified risk-free asset—that is, the possibility that the true risk-free asset is a longer-maturity Treasury bond. • A simple theoretical derivation leads to the testable prediction that low-beta (high-beta) stocks should then exhibit positive (negative) bond betas. • The author finds strong empirical confirmation for these predictions and can pinpoint the market-implied risk-free asset at medium-term (5-year) bonds. Concrete implications of this finding are a lower equity risk premium and a less steep security market line.

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市场所隐含的无风险资产：中期债券而非短期票据

在资本资产定价模型的实证检验中，理论上无风险的资产通常被假定为1个月期国库券。本文研究了错误指定的无风险资产的含义，即，真正的无风险资产是期限更长的国债的可能性。一个简单的理论推导得出可测的预测，即低贝塔（高贝塔）股票应该表现出正（负）债券贝塔。作者为这些预测找到了有力的经验证实。可以将市场隐含的无风险资产确定为中期（5年期）债券。这一发现的具体含义是较低的股票风险溢价和较窄的证券市场线。主题：投资组合理论，投资组合构建，衍生工具主要发现•在资本资产定价模型的实证检验中，理论上无风险的资产通常假定为1个月的国库券。本文研究了错误指定的无风险资产的含义，即，真正的无风险资产是期限更长的国债的可能性。•简单的理论推导得出可检验的预测，即低贝塔（高贝塔）股票应该表现出正（负）债券贝塔。•作者为这些预测找到了有力的经验证实，并可以将市场暗示的无风险资产确定为中期（5年期）债券。这一发现的具体含义是较低的股票风险溢价和较窄的证券市场线。真正的无风险资产是期限更长的国债的可能性。•简单的理论推导得出可检验的预测，即低贝塔（高贝塔）股票应该表现出正（负）债券贝塔。•作者为这些预测找到了有力的经验证实，并可以将市场暗示的无风险资产确定为中期（5年期）债券。这一发现的具体含义是较低的股票风险溢价和较窄的证券市场线。真正的无风险资产是期限更长的国债的可能性。•简单的理论推导得出可检验的预测，即低贝塔（高贝塔）股票应该表现出正（负）债券贝塔。•作者为这些预测找到了有力的经验证实，并可以将市场暗示的无风险资产确定为中期（5年期）债券。这一发现的具体含义是较低的股票风险溢价和较窄的证券市场线。