Changing Risk Premia: Evidence from a Small Open Economy
使用瑞典股市数据，通过条件资产定价模型和GARCH-M方法估计风险价格，发现风险溢价随时间变化且显著为正，表明大小型经济体的投资者风险偏好差异不大。
Little is known about the differences in the relation between risk and return in large economies such as the U.S. compared with smaller, less studied, markets. In this paper, Sweden serves as a representative for small open economies. The price of risk on the Swedish stock market is estimated using a conditional asset pricing model that allows for time variation in the risk. Four different GARCH‐M models are used in the econometric specification. The estimates of the price of risk are invariably positive and significant, and we conclude that there exists a time‐varying risk premium in the Swedish stock market. Our results show that there are small differences in the preferences towards risk of representative investors in small and large economies.