TIME-VARYING RISK PREMIA IN MULTIVARIATE PRICING-MODELS

Authors
WESTERLUND A
Citation
A. Westerlund, TIME-VARYING RISK PREMIA IN MULTIVARIATE PRICING-MODELS, Ekonomiska samfundets tidskrift, 47(4), 1994, pp. 247-255
Citations number
8
Categorie Soggetti
Economics
Journal title
Ekonomiska samfundets tidskrift → ACNP
ISSN journal
00133183
Volume
47
Issue
4
Year of publication
1994
Pages
247 - 255
Database
ISI
SICI code
0013-3183(1994)47:4<247:TRPIMP>2.0.ZU;2-9
Abstract
This article is based on a master's thesis in financial economics. The author investigates whether the returns on the Finnish stock market a re forecastable, by studying the time variations in the risk premia in an ATP-model for the period 1976-1990. The results presented in this article show, however, that the returns are for the most part not fore castable with the aid of macroeconomic variables observable at the beg inning of the return period.