haku: @indexterm financial models / yhteensä: 494
viite: 236 / 494
| Tekijä: | Giovannini, A. Jorion, P. |
| Otsikko: | The time variation of risk and return in the foreign exchange and stock markets. |
| Lehti: | Journal of Finance
1989 : JUN, VOL. 44:2, p. 307-325 |
| Asiasana: | RETURN ON INVESTMENT FOREIGN EXCHANGE STOCK MARKETS FINANCIAL MODELS CAPITAL ASSET PRICING |
| Kieli: | eng |
| Tiivistelmä: | It is examined whether the fluctuations of conditional first and second moments of returns on assets are consistent with the Sharpe-Lintner-Mossin capital asset pricing model. The mean-variance model is tested under several different assumptions about the time variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, sterling, and Swiss franc assets, together with the USA stock market. The results indicate that estimated conditional variances cannot explain the observed time variation of risk premia. |
SCIMA