Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/67412 
Autor:innen: 
Erscheinungsjahr: 
2008
Quellenangabe: 
[Journal:] The Open Economics Journal [ISSN:] 1874-9194h [Volume:] 1 [Publisher:] Bentham Open [Place:] Sharjah [Year:] 2008 [Pages:] 58-63
Verlag: 
Bentham Open, Sharjah
Zusammenfassung: 
This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus strictly on the monthly time-varying risk prices while employing the Fama and French approach by constructing 25 size-ranked and 25 BE/ME-ranked portfolio returns. The empirical results show that the price of risk in the conditional version of the Sharpe-Lintner-Mossin CAPM is generally positive and significant when the time-varying covariances from the multivariate GARCH model are used. This provides evidence contrary to the findings of many international studies in which the validity of the traditional CAPM is very often denied.
Schlagwörter: 
conditional CAPM
multivariate GARCH model
time-varying risk aversion
time-varying risk price
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
681.86 kB





Publikationen in EconStor sind urheberrechtlich geschützt.