Absolute and Relative Measures of Time-varying Risk Premia and the Predictability of Stock Returns

Angela Black

CRIEFF Discussion Papers from Centre for Research into Industry, Enterprise, Finance and the Firm

Abstract: Recent evidence suggests that predictable components in excess stock and bond returns can be attributed to common risk factors which may be associated with macroeconomic conditions. This paper considers theoretical reasons which seem to support the view that a relative measure of risk premia may capture additional information about changing macroeconomic conditions. Time series regressions are executed on two UK stock indices and one UK bond index from January 1965 - December 1994. The results suggest that relative measures of risk premia account for more of the predictability in UK excess stock and bond returns that absolute measures of risk premia.

Keywords: risk premia; predictability; excess returns (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 1995-10
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:san:crieff:9514

Access Statistics for this paper

More papers in CRIEFF Discussion Papers from Centre for Research into Industry, Enterprise, Finance and the Firm Department of Economics, Castlecliffe, The Scores, St Andrews, KY16 9AZ. Contact information at EDIRC.
Bibliographic data for series maintained by Department of Economics, The University of St Andrews Business School ().