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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian. |
| Titre de la série | Working paper1192-54342000-9 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| 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. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 2000. |
| Reliure | Softcover |
| Description | vi, 42p. : references, tables ; 28 cm. |
| ISBN | 0-662-28960-9 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Markets Exchange rates |
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