Asset pricing, time-varying risk premia and interest rate risk

Journal of Banking and Finance

Volumn 21, Issue 3, 1997, Pages 315-335

  Flannery, Mark J ^a   Hameed, Allaudeen S ^b   Harjes, Richard H ^c  

^a UNIVERSITY OF FLORIDA   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c Advanced Strategic Group   (United States)

Author keywords

Asset pricing; GARCH; Interest rate risk; Market risk

Indexed keywords

EID: 0031091915     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(96)00044-1     Document Type: Article

References (32)

1. Akgiray, V., 1989, Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts, Journal of Business 62, 55-80.
2. Backus, David K. and Allan W. Gregory, 1993, Theoretical relations between risk premiums and conditional variances, Journal of Business and Economic Statistics 11, no. 2, 177-185.
3. Bodurtha, J. and N. Mark, 1991, Testing the CAPM with time-varying risks and returns, Journal of Finance 46, 1485-1505.
4. Bollerslev, T., R. Chou and K. Kroner, 1992, ARCH meddling in finance: A review of theory and empirical evidence, Journal of Econometrics 5-59.
5. Campbell, J., 1987, Stock returns and the term structure, Journal of Financial Economics, 373-399.
6. Chen, N., R. Roll and S. Ross, 1986, Economic forces and the stock market, Journal of Business 59, no. 6, 383-403.
7. Engle, R., D. Lilien and R. Robins, 1987, Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica, March, 391-408.
8. Engle, R, V. Ng and M. Rothschild, 1990, Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills, Journal of Econometrics, 213-237.
9. Fama, E. and J. MacBeth, 1973, Risk, return, and equilibrium, Journal of Political Economy, May, 607-636.
10. Fama, E., and K. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427-465.
11. Ferson, W. and C. Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy, April, 385-415.
12. Ferson, W. and R. Korajczyk, 1995, Do arbitrage pricing models explain the predictability of stock returns?, Journal of Business 3, 309-349.
13. Flannery, M. and C. James, 1984, The effect of interest rate changes on the common stock return of financial institutions, Journal of Finance 39, 1141-1153.
14. French, K., G. Schwert and R. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics, Sept., 3-29.
15. Gallant, R. and D. Jorgenson, 1979, Statistical inference for a system of simultaneous, nonlinear, implicit equations in the context of instrumental variables estimation, Journal of Econometrics 11, 275-302.
16. Harvey, Campbell R., 1991, The world price of covariance risk, Journal of Finance 46, 111-157.
17. Harvey, Campbell R., 1989, Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics 24, 289-317.
18. Huberman, Gur, Shmuel Kandel and Robert Stambaugh, 1987, Mimicking portfolios and exact arbitrage pricing, Journal of Finance 42, 1-9.
19. Kothari, S.P., J. Shanken and R. Sloan, 1995, Another look at the cross-section of expected returns, Journal of Finance 50, 185-224.
20. Lehmann, Bruce and David P. Modest, 1988, Empirical foundations of the arbitrage pricing theory, Journal of Financial Economics 21, no. 2, 213-254.
21. Ljung, G. and G. Box, 1978, On a measure of lack of fit in time-series models, Biometrika 65, 297-303.
22. Merton, R., 1973, An intertemporal capital asset pricing model, Econometrica, 867-887.
23. Merton, R., 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 323-361.
24. Ng, V., R. Engle and M. Rothschild, 1992, A multi-dynamic-factor model for stock returns, Journal of Econometrics 52, 245-266.
25. O'Neal, E., 1996, Why electric utility stocks are sensitive to interest rates, The Financial Review, forthcoming.
26. Shanken, J., 1991, Intertemporal asset pricing: An empirical investigation, Journal of Econometrics 45, 99-120.
27. Shanken, J., 1992, On the estimation of beta-pricing models, Review of Financial Studies 5, 1-34.
28. Sweeney, R. and A. Warga, 1986, The pricing of interest-rate risk: Evidence from the stock market, The Journal of Finance 41, 393-410.
29. Turtle, H., A. Buse and B. Korkie, 1994, Tests of conditional asset pricing with time-varying moments and risk prices, Journal of Financial and Quantitative Analysis, March, 15-30.
30. Warga, A., 1989, Experimental design in tests of linear factor models, Journal of Business and Economic Statistics 7, 191-198.
31. White, H., A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
32. Yourougou, P., 1990, Interest-rate risk and the pricing of depository financial intermediary common stock, Journal of Banking and Finance 14, 803-820.