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• W2187051630 abstract "This empirical study analyzes market and currency risk premia during financial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric specification extends the multivariate GARCH approach of De Santis and Gerard (1998) including asymmetric shocks and off-diagonal elements in the GARCH specification. The framework is applied to weekly equity data for Switzerland, the Undited Kingdom, Japan, the United States and Germany. Market risk is measured against the world market and currency risk against the deposits in Swiss franc, British pound, Japanese yen and the US dollar from the perspective of a German investor. Asset pricing tests confirm the previous evidence of significant time-varying market and currency risk premia. The market prices of risk and risk premia are both statistically and economically significant and can be explained relative to the historical background of the last two decades. We formally analyze the impact of financial and political crises on market prices of risk and risk premia. This leads us to examine whether some of the currencies can be characterized as a safe haven, i.e. expected risk premia fall during market turmoil, since investors are willing to forgo some return for this insurance. This conjecture is confirmed for the Swiss franc by the empirical results." @default.
• W2187051630 created "2016-06-24" @default.
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• W2187051630 date "2004-01-01" @default.
• W2187051630 modified "2023-09-27" @default.
• W2187051630 title "Market and Currency Risk Premia during Financial and Political Crises: An Asset Pricing Perspective ∗" @default.
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• W2187051630 hasPublicationYear "2004" @default.
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