Electronic Resource
Springer
Review of quantitative finance and accounting
7 (1996), S. 205-220
ISSN:
1573-7179
Keywords:
asset pricing
;
CAPM
;
risk
;
return
;
GARCH
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract In this article we examine an intertemporal capital asset pricing model (CAPM) that allows for time-varying conditional covariances that are assumed to follow a multivariate integrated generalized autoregressive conditional heteroscedastic (IGARCH) process. The resulting pricing equation includes idiosyncratic risk premia in addition to the usual market beta. Empirical analysis based on ten size and ten industry portfolios reveals significant idiosyncratic premia for most portfolios. Overall, we reject the static CAPM in favor of the intertemporal CAPM.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00243979
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