Arbeitspapier
Conditional betas and the price of risk in a thin asset market: A sensitivity analysis
This paper examines the sensitivity of tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM) to different estimation methods and asset return samples in a thin European asset market, i.e. the Finnish asset market. A time-varying-parameter model is introduced as an altemative to the static market model. We run a regression over a pooled data set in addition to the second-pass Fama-McBeth regressions. Our tests are carried out with four asset specific samples. In every case, cross-sectional OLS estimation of the betas leads to the rejection of the mean-variance efficiency of the market index. The price of market risk is statistically significant, but negative. Our tests on the time-varying betas indicate just the opposite. We are. not able to reject the mean-variance efficiency of the market index in any of the samples. The price of market risk is positive and statistically significant for the stock return data set that most closely resemble the normal distribution.
- ISBN
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951-686-318-3
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Discussion Papers ; No. 9/1992
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Malkamäki, Markku
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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1992
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Malkamäki, Markku
- Bank of Finland
Time of origin
- 1992
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Signaling asset price bubbles with time-series methods
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Detecting asset price bubbles with time-series methods
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Sensitivity of fiscal-policy effects to policy coordination and business cycle conditions
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Limited asset market participation: does it really matter for monetary policy?
Estimating conditional betas and the price of risk for a thin stock market
Conditional risk and predictability of Finnish stock returns
Signaling asset price bubbles with time-series methods
Factors affecting asset price expectations: Fundamentals and policy
Detecting asset price bubbles with time-series methods
Consumption and uncertain access to the asset market
Studies in time series analysis of consumption, asset prices and forecasting
The interest rate sensitivity of output in Finland
Sensitivity of fiscal-policy effects to policy coordination and business cycle conditions
Finnish banks' problem assets: Result of unfortunate asset structure of too rapid growth?
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