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An Empirical investigation of international asset pricing

Author: Viallet, Claude ; Korajczyk, RobertINSEAD Area: FinanceIn: Review of Financial Studies, vol. 2, no. 4, winter 1989 Language: EnglishDescription: p. 553-585.Type of document: INSEAD ArticleNote: Please ask the Library for this articleAbstract: In this paper several asset pricing models are investigated in an international setting. Data is used on a large number of assets traded in the United States, Japan, the United Kingdom and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. It is found that multifactor models tend to outperform single-index models in both domestic and international forms especially in their ability to explain seasonality in asset returns. It is also found that the behaviour of the models is affected by changes in the regulatory environment in international markets
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In this paper several asset pricing models are investigated in an international setting. Data is used on a large number of assets traded in the United States, Japan, the United Kingdom and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. It is found that multifactor models tend to outperform single-index models in both domestic and international forms especially in their ability to explain seasonality in asset returns. It is also found that the behaviour of the models is affected by changes in the regulatory environment in international markets

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