Analyse des données de marchés pour la période: 01/1983 - 04/1999

DOI

This study examines for three countries, that is the US, the UK and Switzerland, whether interest rate and credit risks are priced in the equity excess returns of their respective stock market indexes over the period January 1983 - respectively February 1993 and January 1988 - to April 1999, by estimating both two-factor and three-factor versions of Merton's ICAPM. The degree of dependence and causality between the domestic credit risk premia in order to assess the potential benefits of international diversification is also studied. Only weak evidence of systematic interest rate risk pricing is found, while under systematic credit risk can be concluded that market and credit risks are both positively and significantly priced. Finally the authors fail to observe strong relationships between the credit risk premia estimated on the three stock markets.

Identifier
DOI https://doi.org/10.23662/FORS-DS-341-1
Metadata Access https://datacatalogue.cessda.eu/oai-pmh/v0/oai?verb=GetRecord&metadataPrefix=oai_ddi25&identifier=ef17e12e10aa4ec49bc56e06540c879ef0629dd1260bafcea808ee2a98e5a921
Provenance
Creator Gibson Brandon, Rajna
Publisher FORS
Publication Year 2003
Rights Restrictions supplémentaires: Aucune; Zusätzliche Einschränkungen: Keine; Additional Restrictions: None; Permission spéciale: Accord préalable de l'auteur·trice; Sondergenehmigung: Nach vorheriger Zustimmung des Autors; Special permission: With prior agreement of author
OpenAccess true
Representation
Discipline Economics; Social and Behavioural Sciences
Spatial Coverage Suisse; Schweiz; Switzerland; Europe; Europa; Europe; Europe occidentale; Westeuropa; Western Europe; États-Unis d'Amérique; Vereinigte Staaten von Amerika; United States of America; Amériques; Amerikas; Americas; Amérique septentrionale; Nordamerika; Northern America; Royaume-Uni; Grossbritannien; United Kingdom of Great Britain and Northern Ireland; Europe septentrionale; Nordeuropa; Northern Europe