Fedorova, Elena; Vaihekoski, Mika - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2008
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland,...