Haku
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Estimating conditional betas and the price of risk for a thin stock market
(16.03.1992)
Bank of Finland Research Discussion Papers 8/1992
Bank of Finland Research Discussion Papers 8/1992
This paper examines the Sharpe-Lintner Capital Asset Pricing Model (CAPM) in which time-varying-parameter models are altemative to the static market model. Prior evidence does not support the CAPM and suggests that market ...
The equity risk premium and the low frequency of the term spread
(03.04.2018)
Bank of Finland Research Discussion Papers 7/2018
Bank of Finland Research Discussion Papers 7/2018
We extract cycles in the term spread (TMS) and study their role for predicting the equity risk premium (ERP) using linear models. The low frequency component of the TMS is a strong and robust out-of-sample ERP predictor. ...
Conditional risk and predictability of Finnish stock returns
(28.10.1992)
Bank of Finland Research Discussion Papers 31/1992
Bank of Finland Research Discussion Papers 31/1992
This paper studies the driving forces of predictable variation in Finnish stock returns. The dynamics of Ferson and Harvey's (1991) methodology are extended and applied within the Sharpe-Lintner CAPM. We find that market ...
Which financial stocks did short sellers target in the subprime crisis?
(12.02.2015)
Bank of Finland Research Discussion Papers 3/2015
Bank of Finland Research Discussion Papers 3/2015
Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime ...
Forecasting the equity risk premium with frequency-decomposed predictors
(03.01.2017)
Bank of Finland Research Discussion Papers 1/2017
Bank of Finland Research Discussion Papers 1/2017
We show that the out-of-sample forecast of the equity risk premium can be signi ficantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors. ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...
Conditional betas and the price of risk in a thin asset market : A sensitivity analysis
(17.03.1992)
Bank of Finland Research Discussion Papers 9/1992
Bank of Finland Research Discussion Papers 9/1992
This paper examines the sensitivity of tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM) to different estimation methods and asset return samples in a thin European asset market, i.e. the Finnish asset market. ...
Monetary policy and stock market valuation
(18.09.2020)
Bank of Finland Research Discussion Papers 16/2020
Bank of Finland Research Discussion Papers 16/2020
This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free ...