haku: @author Wu, Y. / yhteensä: 13
viite: 4 / 13
| Tekijä: | Patro, D. K. Wald, J. K. Wu, Y. |
| Otsikko: | The impact of macroeconomic and financial variables on market risk: evidence from international equity returns |
| Lehti: | European Financial Management
2002 : DEC, VOL. 8:4, p. 421-448 |
| Asiasana: | MACROECONOMICS FINANCE RISK ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The objective of this paper is to investigate how risk exposures and risk-adjusted excess returns of country equity indexes are related to country-specific macroeconomic and financial factors for a sample of 16 OECD countries for the period 1980-97. The paper uses a two-step estimation procedure, wherein the first step the time-varying world market betas and alphas are estimated using a GARCH model. These betas and alphas are allowed to change from year to year, but a priori, they are not assumed to be a function of pre-specified variables. The authors use weekly data on equity indexes and exchange rates to obtain relatively precise estimates of the authors' annual betas and alphas. In the second step, the estimated betas and alphas are regressed on annual country-specific macroeconomic and financial variables. |
SCIMA