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Measuring market and inflation risk premia in France and in Germany

Cappiello, Lorenzo; Guéné, Stéphane - 2005

Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our … the convergence process towards the single currency might have affected the role of inflation in the pricing of financial … assets. We find that inflation is a significant explanatory factor for the pricing of stocks and government bonds in the two …

Persistent link: https://www.econbiz.de/10011604482

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

, we focus on the asset pricing implications of the euro. Specifically, we use a dynamic no arbitrage term structure model …

Persistent link: https://www.econbiz.de/10011604644

The uncovered return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2007

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...

Persistent link: https://www.econbiz.de/10011604858

Country and industry equity risk premia in the euro area: an intertemporal approach

Cappiello, Lorenzo; Lo Duca, Marco; Maddaloni, Angela - 2008

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as...

Persistent link: https://www.econbiz.de/10011604959

The Uncovered Return Parity Condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2021

Persistent link: https://www.econbiz.de/10013316864