Essays on conditional pricing of Finnish stocks

Acknowledgements 5

1 Aim and Scope of the Study 9

2 Methodological Aspects of the Tests 12
2.1 Beta Estimation 14
2.2 Estimation of the Risk Premium 18
2.3 Cointegration and Causality 20
2.4 A Note on the Data 22

3 Concluding Remarks 24

References 25

Essays:
I In the Defence of the CAPM: Evidence Using Time-Varying Betas on a Thin Stock Market 29
II Conditional Betas and the Price of Risk in a Thin Asset Market: A Sensitivity Analysis 65
III Cointegration and Causality of Stock Markets in Two Small Open Economies and Their Major Trading Partners 105
IV Conditional Risk and Predictability of Finnish Stock Returns 141