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| Author: | Ostermark, R. |
| Title: | Portfolio efficiency of a dynamic capital asset pricing model. Empirical evidence on Finnish and Swedish stock data. |
| Journal: | Empirical Economics
1993 : VOL. 18:1, p. 75-93 |
| Index terms: | PRICING FINLAND SWEDEN DYNAMIC MODELS EFFICIENCY |
| Language: | eng |
| Abstract: | The purpose of this study is to reconcile the evidence on Portfolio Efficiency of the CAMP (Capital Asset Pricing Model) framework in Finnish and Swedish conditions, using a modification of the recursive Kalman Filtering approach. It is shown in the paper that while the APT-framework still outperforms the competing models, the strength of domination is weakened in both countries , when confronting the APT with a dynamic nonstationary CAMP. The dynamic model is more powerful with Finnish than with Swedish data. The portfolio efficiency of the dynamic model is improved, when a properly defined transition matrix in the Kalman Filtering Algorithm is used. |
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