Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian.: FB3-2/100-9E
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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| Title | Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Physical text |
| Other formats | Digital text-[English] |
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| Binding | Softcover |
| Description | vi, 42p. : references, tables ; 28 cm. |
| ISBN | 0-662-28960-9 |
| ISSN | 1192-5434 |
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