INTEREST-RATES AND RISK PREMIA IN THE STOCK-MARKET AND IN THE FOREIGN-EXCHANGE MARKET

被引：84

作者：

GIOVANNINI, A

JORION, P

机构：

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1987年 / 6卷 / 01期

关键词：

D O I：

10.1016/0261-5606(87)90016-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：107 / 123

页数：17

共 40 条

[1]

ABEL AB, 1983, J MONETARY ECON, V9, P3

[2] THE SPECULATIVE EFFICIENCY HYPOTHESIS [J].

BILSON, JFO .

JOURNAL OF BUSINESS, 1981, 54 (03) :435-451

[3]

BOLLERSLEV TP, 1985, CAPITAL ASSET PRICIN

[4] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].

BREEDEN, DT .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296

[5]

CAMPBELL JY, 1985, 1626 NAT BUR EC RES

[6] THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS [J].

CHRISTIE, AA .

JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (04) :407-432

[7] ADMISSIBLE UNCERTAINTY IN THE INTERTEMPORAL ASSET PRICING MODEL [J].

CONSTANTINIDES, GM .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :71-86

[8]

Cumby R. E., 1984, EXCHANGE RATE THEORY

[9] A NOTE ON EXCHANGE-RATE EXPECTATIONS AND NOMINAL INTEREST DIFFERENTIALS - A TEST OF THE FISHER HYPOTHESIS [J].

CUMBY, RE ;

OBSTFELD, M .

JOURNAL OF FINANCE, 1981, 36 (03) :697-703

[10] 2-STEP 2-STAGE LEAST-SQUARES ESTIMATION IN MODELS WITH RATIONAL-EXPECTATIONS [J].

CUMBY, RE ;

HUIZINGA, J ;

OBSTFELD, M .

JOURNAL OF ECONOMETRICS, 1983, 21 (03) :333-355

← 1 2 3 4 →