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001	9.615189
003	CaOODSP
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007	ta
008	150406|2000||||xxc|||||     f|0| 0 eng|d
020	|a0-662-28960-9
022	|a1192-5434
040	|aCaOODSP|beng
043	|an-cn---
086	1 |aFB3-2/100-9E
110	2 |aBank of Canada.
245	10|aModelling risk premiums in equity and foreign exchange markets / |cby René Garcia and Maral Kichian.
260	|aOttawa - Ontario : |bBank of Canada |c2000.
300	|avi, 42p. : |breferences, tables ; |c28 cm.
490	1 |aWorking paper|x1192-5434|v2000-9
500	|a"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.
520	3 |aIn 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
546	|aRésumés en français
563	|aSoftcover
590	|a00-22|b2000-06-22
690	07|aMarkets|2gcpds
690	07|aExchange rates|2gcpds
720	1 |aKichian, Maral
720	1 |aGarcia, René
776	0#|tModelling risk premiums in equity and foreign exchange markets / |w(CaOODSP)9.571592
830	#0|aWorking paper,|x1192-5434|v2000-9|w(CaOODSP)9.514622