The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets PDF full book. Access full book title The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets by Alberto Giovannini. Download full books in PDF and EPUB format.
Author: Alberto Giovannini
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 56
Get Book Here
Book Description
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Author: Alberto Giovannini
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 56
Get Book Here
Book Description
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Author: Geert Bekaert
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper successively introduces variable velocity, durability and habit persistence in a standard two-country general equilibrium model and explores their effects on the variability of exchange rate changes, forward premiums and the foreign exchange risk premium. A new feature of the model is that agents make decisions at a weekly frequency and face conditionally heteroskedastic shocks. Nevertheless, even the most complex model fails to deliver sufficiently variable risk premiums without causing forward premiums and exchange rates to be excessively variable. Unlike previous models, the model can roughly match the persistence of forward premiums.
Author: Geert Bekaert
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Alberto GIOVANNINI
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Alberto Giovannini
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Alberto Giovannini
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 40
Get Book Here
Book Description
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
Get Book Here
Book Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author: Turan G. Bali
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
Book Description
The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by using high-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter. Five-minute returns on the spot exchange rates of the U.S. dollar vis-a-vis six major currencies (the Euro, Japanese Yen, British Pound Sterling, Swiss Franc, Australian Dollar, and Canadian Dollar) are used to test the existence and significance of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The results indicate a positive, but statistically weak relation between risk and return on currency.
Author: Robert J. Hodrick
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
Get Book Here
Book Description
This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints. We examine the robustness of these tests to time variation in parameters and to the presence of heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a nonlinear function of the forward premium. Accounting for this nonlinearity, the specification appears to be time invariant. Out of sample portfolio speculaton is profItable but risky.
