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1999-01-01Buch DOI: 10.18452/3692
Time-Varying Market Price of Risk in the CAPM
dc.contributor.authorHafner, Christian
dc.contributor.authorHerwartz, Helmut
dc.date.accessioned2017-06-15T21:49:04Z
dc.date.available2017-06-15T21:49:04Z
dc.date.created2006-01-13
dc.date.issued1999-01-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4344
dc.description.abstractTime-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market price of risk (lambda). For utility functions that do not imply constant risk aversion measures, the market price of risk will in general change over time. We provide empirical evidence for the German stock market in a bivariate GARCH-M framework using alternative specifications for lambda. The results indicate that a model with lambda being a function of typical volatility measures performs best for most series. To facilitate the interpretation of the results, we plot impulse response functions of the risk premia.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectimpulse response analysiseng
dc.subjectMarket price of riskeng
dc.subjectMultivariate GARCH-Modelseng
dc.subjectCAPMeng
dc.subject.ddc330 Wirtschaft
dc.titleTime-Varying Market Price of Risk in the CAPM
dc.typebook
dc.subtitleApproaches, Empirical Evidence and Implications
dc.identifier.urnurn:nbn:de:kobv:11-10056148
dc.identifier.doihttp://dx.doi.org/10.18452/3692
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue22
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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