Using conditional international asset pricing models, this paper investigates whether global market and currency risks are priced in the Finnish stock market. We take the view of Finnish investors and study the pricing of the market portfolio and industry portfolios using monthly data from 1987...

Single and multifactor unconditional international asset pricing models are tested for the real and excess returns on Finnish size and industry portfolios using the traditional alpha intercept tests. The results support the efficiency of the global equity market portfolio, although the...

The predictability of Finnish stock returns is studied using the framework of Ferson and Harvey (1993). We employ a conditional asset pricing model where risk premia and risk sensitivities are conditioned on a range of financial information variables. In particular, we study the effect of the...