Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/45206
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dc.titleAsset pricing, time-varying risk premia and interest rate risk
dc.contributor.authorFlannery, M.J.
dc.contributor.authorHameed, A.S.
dc.contributor.authorHarjes, R.H.
dc.date.accessioned2013-10-11T08:14:10Z
dc.date.available2013-10-11T08:14:10Z
dc.date.issued1997
dc.identifier.citationFlannery, 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.
dc.identifier.issn03784266
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/45206
dc.description.abstractThis 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.
dc.sourceScopus
dc.subjectAsset pricing
dc.subjectGARCH
dc.subjectInterest rate risk
dc.subjectMarket risk
dc.typeArticle
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.sourcetitleJournal of Banking and Finance
dc.description.volume21
dc.description.issue3
dc.description.page315-335
dc.description.codenJBFID
dc.identifier.isiutNOT_IN_WOS
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