Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211660 
Year of Publication: 
1992
Series/Report no.: 
Bank of Finland Discussion Papers No. 31/1992
Publisher: 
Bank of Finland, Helsinki
Abstract: 
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.
Persistent Identifier of the first edition: 
ISBN: 
951-686-344-2
Document Type: 
Working Paper

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