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 ...
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. ...