Risk Premiums in Asset Prices and Returns

David Backus and Allan Gregory

Working Paper from Economics Department, Queen's University

Abstract: We review the recent research on time-varying risk premiums, including attempts to explain rejection by Baillie and others of "the unbiasedness hypothesis." Using spot and forward foreign exchange rates we discuss the evidence for time-varying risk premiums, relate it to general equilibrium theories of asset pricing, and describe the artificial economy methodology.

Keywords: risk premiums; forward and spot exchange rates; asset pricing; artificial economies. (search for similar items in EconPapers)
Pages: 11 pages
Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:727

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