Predictability Of Excess Returns Research Articles

Modelling risk premia in international asset markets

The intertemporal capital asset pricing model (ICAPM) has been widely used as a vehicle to explain the predictability of excess returns in forward foreign exchange markets. This approach ignores the heterogeneity in the assets actually traded in international asset markets. In this paper it is shown that the latent variable risk premium model is not rejected by the data when tested on a portfolio including equity and bonds in four currencies. However, application of a more general test rejects parameter stability, suggesting that the latent variable model is not as successful as the previous tests would imply.

MEASURING EFFICIENCY AND RISK IN THE MAJOR BOND MARKETS

Journal Article MEASURING EFFICIENCY AND RISK IN THE MAJOR BOND MARKETS Get access STEVEN G. HALL, STEVEN G. HALL Search for other works by this author on: Oxford Academic Google Scholar DAVID K. MILES DAVID K. MILES Search for other works by this author on: Oxford Academic Google Scholar Oxford Economic Papers, Volume 44, Issue 4, 1992, Pages 599–625, https://doi.org/10.1093/oxfordjournals.oep.a042067 Published: 01 January 1992