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Title: Asset pricing, time-varying risk premia and interest rate risk
Authors: Flannery, M.J.
Hameed, A.S. 
Harjes, R.H.
Keywords: Asset pricing
Interest rate risk
Market risk
Issue Date: 1997
Citation: 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
ISSN: 03784266
Appears in Collections:Staff Publications

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