| Revista: | Journal of applied economics |
| Base de datos: | CLASE |
| Número de sistema: | 000430452 |
| ISSN: | 1667-6726 |
| Autors: | Hansen, Marc1 Herwartz, Helmut2 Rengel, Malte2 |
| Institucions: | 1Christian-Albrechts-Universitat zu Kiel, Kiel, Schleswig-Holstein. Alemania 2University of Gottingen, Gottingen, Niedersachsen. Alemania |
| Any: | 2014 |
| Període: | Nov |
| Volum: | 17 |
| Número: | 2 |
| Paginació: | 257-281 |
| País: | Argentina |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Aplicado |
| Resumen en inglés | We propose a dynamic generalization of the Capital Asset Pricing Model (CAPM) that allows for a time-varying market price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility approach is employed to determine market risk. The advocated state space model takes autoregressive dynamics of the MPR and predetermined state variables into account. For the case of the DAX, the major German stock index, the empirical analysis strongly underpins time variation of risk compensation. The MPR is conditioned upon the EURIBOR, a national and an international term spread, returns of the Dow-Jones-Industrial-Average-Index (DOW), and a dummy variable hinting at excess activity of noise traders. Moreover, we document forecasting results based on a short horizon trading strategy. The proposed model is characterized by strong market timing ability |
| Disciplines | Economía |
| Paraules clau: | Precios, Inversiones, Teorías económicas, Mercado de valores, Volatilidad, Riesgo financiero, Aversión al riesgo, Alemania, Capital asset pricing model (CAPM) |
| Text complet: | Texto completo (Ver PDF) |
