| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP356 |
| DP356 Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency | |
| Michael R. Wickens; Stephen H Thomas | |
| 发表日期 | 1989-11-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | It is widely thought that neither the foreign exchange markets nor equity markets are efficient, in the sense that tests of the unbiasedness hypothesis and of the present value relationship, respectively, typically lead to rejection. Interest has therefore turned to whether a risk premium exists. This paper provides non-parametric estimates of the foreign exchange and equity risk premia, i.e., estimates that do not depend on any particular model of risk. The average risk premia for three exchange rates (the DM, Yen, Pound are all against the Dollar) and for four stock markets (West Germany, Japan, the United Kingdom and United States) over 1973-88 are shown to be quite small. In contrast, considerable variation is discovered in these risk premia during this period. |
| 主题 | International Trade and Regional Economics |
| 关键词 | Efficient markets Exchange rates Risk premia stock market |
| URL | https://cepr.org/publications/dp356 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529512 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens,Stephen H Thomas. DP356 Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency. 1989. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
