Stock returns and macro risks: Evidence from Finland

@inproceedings{Virk2012StockRA,
  title={Stock returns and macro risks: Evidence from Finland},
  author={Nader Shahzad Virk},
  year={2012}
}
Deviations from the CAPM have generally been observed for the stock markets. One of many alternative approaches is using macro variables as systematic risks. We tested with a number of macro risks for the explanation of Finnish industry returns for a period from 1993:03 until 2008:07. The evidence suggests macro risks explain larger cross-sectional variations in average industry returns than the market factor alone and same is reported with the Hansen and Jagannathan (1997) specification… CONTINUE READING