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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 ...
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 ...
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. ...