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
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:qed:wpaper:727

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock (babcockm@queensu.ca).