Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/45206
Title: Asset pricing, time-varying risk premia and interest rate risk
Authors: Flannery, M.J.
Hameed, A.S. 
Harjes, R.H.
Keywords: Asset pricing
GARCH
Interest rate risk
Market risk
Issue Date: 1997
Source: Flannery, M.J.,Hameed, A.S.,Harjes, R.H. (1997). Asset pricing, time-varying risk premia and interest rate risk. Journal of Banking and Finance 21 (3) : 315-335. ScholarBank@NUS Repository.
Abstract: This paper investigates the role of interest rate risk in explaining security price changes. We develop and test a two-factor linear beta pricing model of security returns in which the factors are the excess returns on the long-term, riskless bond and the equal-weighted equity market index. We find that time-variation in the interest rate and market risk premia influence expected security returns. Furthermore, conditional interest rate volatility affects security returns, particularly during periods of substantial interest rate movements.
Source Title: Journal of Banking and Finance
URI: http://scholarbank.nus.edu.sg/handle/10635/45206
ISSN: 03784266
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

95
checked on Dec 15, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.