| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP228 |
| DP228 The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets | |
| Alberto Giovannini | |
| 发表日期 | 1988-03-01 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of asset returns are time-varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model (CAPM). We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986 on returns to a portfolio composed of dollar, Deutschmark, sterling, and Swiss franc assets, together with United States equities. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPM are always rejected. |
| 关键词 | Asset returns Capital-asset-pricing model Conditional variance Equities Foreign exchange Risk premia Time-varying |
| URL | https://cepr.org/publications/dp228 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529383 |
| 推荐引用方式 GB/T 7714 | Alberto Giovannini. DP228 The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets. 1988. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Alberto Giovannini]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Alberto Giovannini]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Alberto Giovannini]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
