haku: @author Li, Y. / yhteensä: 24
viite: 20 / 24
| Tekijä: | Li, Y. |
| Otsikko: | Expected stock returns, risk premiums and volatilities of economic factors |
| Lehti: | Journal of Empirical Finance
1998 : JUN, VOL. 5:2, p. 69-97 |
| Asiasana: | STOCK MARKETS ASSETS PRICING MODELS |
| Kieli: | eng |
| Tiivistelmä: | The paper conducts tests of a multifactor asset pricing model in which time-varying risk premiums are related to the conditional volatilities of the market return and economic state variables. New evidence on the relationships btw. the conditional volatility of the stock market, the volatilities of economic variables and business conditions is provided. Tests reject the joint hypothesis that the model explains both the cross-sectional and intertemporal variation of expected returns on size or industry portfolios. Further tests suggest that the rejection is mostly attributed to the inability of the model to explain the dynamic behavior of expected returns on different size portfolios or on cyclical and noncyclical industry portfolios. |
SCIMA