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Moerman, G.A.
(Gerard Moerman)
model country exchange market inflation return industry price exchange rate risk result portfolio asset stock sample inflation risk european factor table period number pricing correlation regime exchange rates chapter indices euro area performance exchange rate equity integration student country 3 fm france value estimate paper asset pricing models figure equation stock returns journal banking investor panel volatility currency covariance parameter study industry 3 fm *** premium difference germany contagion research error measure statistic section world premia pricing error market risk covariance matrix methodology european banks japan default sector change level shock distribution world price coefficient conclusion influence three-factor model
5 Most Recent Publications
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Inflation risk and international asset returns
(Article)
Moerman, G.A. Dijk, M.A. van |
2010-04-01
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Empirical Studies on Asset Pricing and Banking in the Euro Area
(Doctoral Thesis)
Moerman, G.A. |
2005-06-16
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How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area
(Research Paper)
Moerman, G.A. |
2005-06-06
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Financial Integration Through Benchmarks: The European Banking Sector
(Research Paper)
Moerman, G.A. Mahieu, R.J. Koedijk, C.G. |
2004-12-22
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Unpredictable After All? A short note on exchange rate predictability
(Research Paper)
Moerman, G.A. |
2001-05-21
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