Time-Varying Market Leverage and the Market Risk Premium in New Zealand

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Title

Time-Varying Market Leverage and the Market Risk Premium in New Zealand

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Description

This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With re...

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Date created

07 Nov, 2021

Creator

Bao, Danyi

URL

https://figshare.com/articles/thesis/Time-Varying_Market_Leverage_and_the_Market_Risk_Premium_in_...

Related subjects

Econometrics / Financial theory / Financial risk management / Capital market / School: School of Economics and Finance / 149999 Economics not elsewhere classified / Marsden: 340203 Finance Economics / Marsden: 340499 Econometrics / Degree Discipline: Money and Finance / Degree Level: Masters / Degree Name: Master of Commerce and Administration / Economics not elsewhere classified

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