The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To do this the authors propose an exchange rate model and derive a formula for the forward premium. This formula includes money and production variables and is...

The main purpose of this paper is to analyse if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyse the sample of two ways: set of...

“Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portafolio when we have a nonefficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non observed risk factor that considers the information aj?0...