Arbeitspapier
Conditional risk and predictability of Finnish stock returns
This paper studies the driving forces of predictable variation in Finnish stock returns. The dynamics of Ferson and Harvey's (1991) methodology are extended and applied within the Sharpe-Lintner CAPM. We find that market risk is conditionally priced in the thin Finnish stock market. Most of the predictable variation of stock returns is attributed to the time-varying risk premium, which supports the hypothesis of rational behavior by Finnish investors in setting stock prices. However, the conditional residual term accounted for a larger part of the predictable variation of the stock returns than is found in the US market.
- ISBN
-
951-686-344-2
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Finland Discussion Papers ; No. 31/1992
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Malkamäki, Markku
- Event
-
Veröffentlichung
- (who)
-
Bank of Finland
- (where)
-
Helsinki
- (when)
-
1992
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the 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
Other Objects (12)
Descriptive analysis of Finnish equity, bond and money market returns
A note on Finnish property criminality
Competition in Finnish banking: Two tests
Theoretical aspects to the Finnish credit cycle
A new value-weighted total return index for the Finnish stock market
Switching costs in the Finnish retail deposit market
Bubbles in the Finnish and US equities markets
Default risk on Finnish government foreign currency debt
The equilibrium exchange rate for the Finnish Markka
Banks and the Finnish credit cycle 1986-1995
Less cash on the counter: forecasting Finnish payment preferences
Empirical studies on the private value of Finnish patents
Descriptive analysis of Finnish equity, bond and money market returns
A note on Finnish property criminality
Competition in Finnish banking: Two tests
Theoretical aspects to the Finnish credit cycle
A new value-weighted total return index for the Finnish stock market
Switching costs in the Finnish retail deposit market
Bubbles in the Finnish and US equities markets
Default risk on Finnish government foreign currency debt
The equilibrium exchange rate for the Finnish Markka
Banks and the Finnish credit cycle 1986-1995
Less cash on the counter: forecasting Finnish payment preferences
Empirical studies on the private value of Finnish patents
Descriptive analysis of Finnish equity, bond and money market returns
A note on Finnish property criminality
Competition in Finnish banking: Two tests
Theoretical aspects to the Finnish credit cycle
A new value-weighted total return index for the Finnish stock market
Switching costs in the Finnish retail deposit market
Bubbles in the Finnish and US equities markets
Default risk on Finnish government foreign currency debt
The equilibrium exchange rate for the Finnish Markka
Banks and the Finnish credit cycle 1986-1995
Less cash on the counter: forecasting Finnish payment preferences