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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, L | - |
dc.contributor.author | Martin-Valmayor, M | - |
dc.date.accessioned | 2020-08-04T11:05:05Z | - |
dc.date.available | 2020-12-18 | - |
dc.date.available | 2020-08-04T11:05:05Z | - |
dc.date.issued | 2020-09-01 | - |
dc.identifier.citation | Caporale, G.M., Gil-Alana, L.A. and Martin-Valmayor, M. (2021) 'Persistence in the market risk premium: evidence across countries', Journal of Economics and Finance 45, pp. 413–427. doi: 10.1007/s12197-020-09519-3. | en_US |
dc.identifier.issn | 1055-0925 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/21334 | - |
dc.description.abstract | Copyright © The Author(s) 2020. This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers different time horizons (2, 5 and 10 years) and frequencies (monthly and weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this is confirmed by both endogenous break tests and the associated subsample estimates. Market participants should take this evidence into account when designing their investment strategies. | - |
dc.description.sponsorship | ‘Ministerio de Economía, Industria y Competitividad’ (MINEIC); `Agencia Estatal de Investigación' (AEI) Spain; `Fondo Europeo de Desarrollo Regional' (FEDER); Universidad Francisco de Vitoria. | en_US |
dc.format.extent | 413 - 427 (15) | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Springer Nature | en_US |
dc.rights | Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | CAPM | en_US |
dc.subject | risk premium | en_US |
dc.subject | persistence | en_US |
dc.subject | mean reversion | en_US |
dc.subject | long memory | en_US |
dc.title | Persistence in the market risk premium: evidence across countries | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1007/s12197-020-09519-3 | - |
dc.relation.isPartOf | Journal of Economics and Finance | - |
pubs.publication-status | Published | - |
pubs.volume | 45 | - |
dc.identifier.eissn | 1938-9744 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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