Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian. : FB3-2/100-9E-PDF
In this paper, we evaluate excess asset returns in equity and foreign exchange markets by combining generalized preferences to a heteroscedastic driving process. We do so by extending the international asset-pricing model of Bekaert, Hodrick, and Marshall (1997) who assume disappointment-aversion-type preferences and a homoscedastic exogenous environment. We show that our very general framework is quite successful in generating predictability and moment levels of excess returns that are consistent with the sample data.--Introduction
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian. |
| Series title | Bank of Canada working paper1701-93972000-9 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "In this paper, we evaluate excess asset returns in equity and foreign exchange markets by combining generalized preferences to a heteroscedastic driving process. We do so by extending the international asset-pricing model of Bekaert, Hodrick, and Marshall (1997) who assume disappointment-aversion-type preferences and a homoscedastic exogenous environment. We show that our very general framework is quite successful in generating predictability and moment levels of excess returns that are consistent with the sample data."--Introduction. The ISBN (0-662-28960-9) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada May 2000. |
| Description | 51p.references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Markets Exchange rates |
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