2026-08-05T16:03:08Z https://datacatalogue.cessda.eu/oai-pmh/v0/oai

8d4cb2ced89b2d3d9947e9fc49044410eee2b98477fd2bc5afa5002631bdca77 2026-06-02T13:20:00Z language:fropenaire_data

Analyse des données de marchés pour la période: 01/1983 - 04/1999 Analyse des données de marchés pour la période: 01/1983 - 04/1999 a681b583-9082-44e2-9de4-fd9fa747a43d10.23662/FORS-DS-341-1 Gibson Brandon, Rajna FORSFORSFORS 2003 Wirtschaftliche Lage und IndikatorenEconomic conditions and indicatorsConjoncture économique et indicateursWirtschaftssysteme und wirtschaftliche EntwicklungEconomic systems and developmentSystèmes économiques et développement This study examines for three countries, that is the US, the UK and Switzerland, whether interest rate and credit risks are priced in the equity excess returns of their respective stock market indexes over the period January 1983 - respectively February 1993 and January 1988 - to April 1999, by estimating both two-factor and three-factor versions of Merton's ICAPM. The degree of dependence and causality between the domestic credit risk premia in order to assess the potential benefits of international diversification is also studied. Only weak evidence of systematic interest rate risk pricing is found, while under systematic credit risk can be concluded that market and credit risks are both positively and significantly priced. Finally the authors fail to observe strong relationships between the credit risk premia estimated on the three stock markets. SchweizSwitzerlandSuisseEuropaEuropeEuropeNordeuropaNorthern EuropeEurope septentrionaleNordamerikaNorthern AmericaAmérique septentrionaleAmerikasAmericasAmériquesVereinigtes Königreich Großbritannien und NordirlandUnited Kingdom of Great Britain and Northern IrelandRoyaume-Uni de Grande-Bretagne et d'Irlande du NordWesteuropaWestern EuropeEurope occidentaleVereinigte Staaten von AmerikaUnited States of AmericaÉtats-Unis d'Amérique Additional data use purposes: Research purposes, Teaching purposes, Education and training purposes, Other non-commercial purposesZusätzliche Datennutzungszwecke: Forschungszwecke, Lehrzwecke, Bildungs- und Ausbilundszwecke, Andere nicht-kommerzielle ZweckeFinalités supplémentaires d’utilisation des données: Fins de recherche, Fins d’enseignement, Fins d’éducation et de formation, Autres fins non commercialesSondergenehmigung: Nach vorheriger Zustimmung des AutorsSpecial permission: With prior agreement of authorPermission spéciale: Accord préalable de l'auteur·trice swissubase_341_1_0 Fichier de données Fichier de données Fichier de données Fichier de données Documentation générale http://www.swissubase.ch/oai-pmh/v1/oai oai:swissubase.ch:a681b583-9082-44e2-9de4-fd9fa747a43d 2026-03-24T12:04:32Z ddi:codebook:2_5