00000nam##2200000za#4500 9.571592 CaOODSP 20211126112844 cr ||||||||||| 150406|2000||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/100-9E-PDF Bank of Canada. Modelling risk premiums in equity and foreign exchange markets / [electronic resource] by René Garcia and Maral Kichian. Ottawa - Ontario : Bank of Canada May 2000. 51p. references, tables Bank of Canada working paper 1701-9397 2000-9 "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. 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 Résumé en français. 11-19-Supp 2011-09-23 Markets gcpds Exchange rates gcpds Kichian, Maral Garcia, René Modelling risk premiums in equity and foreign exchange markets / (CaOODSP)9.615189 Working paper (Bank of Canada) 1701-9397 2000-9 (CaOODSP)9.504604 http://publications.gc.ca PDF 293 KB https://publications.gc.ca/collections/Collection/FB3-2-100-9E.pdf 2000-9