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Intertemporal capital asset pricing model with time-varying parameters : tests on data from the Helsinki Stock Exchange

Vaihekoski, Mika - In: Liiketaloudellinen aikakauskirja 45 (1996) 4, pp. 343-383

Persistent link: https://www.econbiz.de/10001216392

Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287

Persistent link: https://www.econbiz.de/10003884188

Are return seasonalities due to risk or mispricing?

Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - In: Journal of financial economics 139 (2021) 1, pp. 138-161

Persistent link: https://www.econbiz.de/10012650232

Global and local sources of risk in Eastern European emerging stock markets

Fedorova, Elena; Vaihekoski, Mika - In: Finance a úvěr 59 (2009) 1, pp. 2-19

Persistent link: https://www.econbiz.de/10009696666

Global and Local Sources of Risk in Eastern European Emerging Stock Markets

Fedorova, Elena - 2009

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the...

Persistent link: https://www.econbiz.de/10013156114

Countercyclical and time-varying reward to risk and the equity premium

Antell, Jan; Vaihekoski, Mika - In: Research in international business and finance 66 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460255

Global and local sources of risk in Eastern European emerging stock markets

Fedorova, Elena (contributor); Vaihekoski, Mika (contributor) - 2008

Persistent link: https://www.econbiz.de/10003791052