Estimation du modéle C.A.P.M. avec primes de risque variables dans le cas de la France

Alban Thomas

Annals of Economics and Statistics, 1991, issue 22, 153-163

Abstract: A Capital Asset Pricing Model is estimated on French weekly data, stock returns heteroskedasticity being modelled using ARCH conditional variances. The main objective is to incorporate information generated by the risk premia variability in the underlying pricing model. Empirical results show that risk measures may well be specified as ARCH processes, whereas CAPM restrictions are rejected.

Date: 1991
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jstor.org/stable/20075826 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:22:p:153-163

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().