Essays on conditional pricing of Finnish stocks

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Title: Essays on conditional pricing of Finnish stocks
Author: Malkamäki, Markku
Organization: Suomen Pankki
Series: Suomen Pankki. B = Bank of Finland. B
Series number: 48
Year of publication: 1993
Publication date: 1.2.1993
Pages: 168
Subject (yso): taloudelliset mallit; pääomamarkkinat; hinnoittelu; hinnat
Keywords: CAPM
Table of contents: Acknowledgements 5 1 Aim and Scope of the Study 9 2 Methodological Aspects of the Tests 12 2.1 Beta Estimation 14 2.2 Estimation of the Risk Premium 18 2.3 Cointegration and Causality 20 2.4 A Note on the Data 22 3 Concluding Remarks 24 References 25 Essays: I In the Defence of the CAPM: Evidence Using Time-Varying Betas on a Thin Stock Market 29 II Conditional Betas and the Price of Risk in a Thin Asset Market: A Sensitivity Analysis 65 III Cointegration and Causality of Stock Markets in Two Small Open Economies and Their Major Trading Partners 105 IV Conditional Risk and Predictability of Finnish Stock Returns 141

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