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Changing Risk Premia: Evidence from a Small Open Economy

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  • Hansson, Bjorn
  • Hordahl, Peter

Abstract

Little is known about the differences in the relation between risk and return in large economies such as the United States compared with smaller, less studied, markets. In this paper, Sweden serves as a representative for small open economies. The price of risk on the Swedish stock market is estimated using a conditional asset pricing model that allows for time variation in the risk. Four different GARCH-M models are used in the econometric specification. The estimates of the price of risk are invariably positive and significant, and the authors conclude that there are small differences in the preferences towards risk of representative investors in small and large economies. Copyright 1997 by The editors of the Scandinavian Journal of Economics.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 99 (1997)
Issue (Month): 2 (June)
Pages: 335-50

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Handle: RePEc:bla:scandj:v:99:y:1997:i:2:p:335-50

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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442

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Cited by:
  1. Tillmann, Peter, 2005. "Private sector involvement in the resolution of financial crises: How do markets react?," Journal of Development Economics, Elsevier, vol. 78(1), pages 114-132, October.
  2. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, 2000. "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Working Papers 0047, National University of Ireland Galway, Department of Economics, revised 2000.
  3. Berg, L., 2000. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweeden," Papers 2000:9, Uppsala - Working Paper Series.
  4. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.
  5. Graflund, Andreas, 2001. "Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios," Working Papers 2001:16, Lund University, Department of Economics, revised 30 Jan 2002.

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