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Estimation du modéle C.A.P.M. avec primes de risque variables dans le cas de la France

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  • Alban Thomas

Abstract

A Capital Asset Pricing Model is estimated on French weekly data, stock returns heteroskedasticity being modelled using ARCH conditional variances. The main objective is to incorporate information generated by the risk premia variability in the underlying pricing model. Empirical results show that risk measures may well be specified as ARCH processes, whereas CAPM restrictions are rejected.

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  • Alban Thomas, 1991. "Estimation du modéle C.A.P.M. avec primes de risque variables dans le cas de la France," Annals of Economics and Statistics, GENES, issue 22, pages 153-163.
    • Handle: RePEc:adr:anecst:y:1991:i:22:p:153-163
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