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Media type:
Report;
E-Book
Title:
Conditional risk and predictability of Finnish stock returns
Contributor:
Malkamäki, Markku
[Author]
Published:
Helsinki: Bank of Finland, 1992
Language:
English
ISBN:
951-686-344-2
Origination:
Footnote:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Description:
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 risk is conditionally priced in the thin Finnish stock market. Most of the predictable variation of stock returns is attributed to the time-varying risk premium, which supports the hypothesis of rational behavior by Finnish investors in setting stock prices. However, the conditional residual term accounted for a larger part of the predictable variation of the stock returns than is found in the US market.