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A Test of International CAPM / Charles Engel, Anthony P. Rodrigues.
- Format:
- Book
- Author/Creator:
- Engel, Charles.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2054.
- NBER working paper series no. w2054
- Language:
- English
- Subjects (All):
- Capital assets pricing model.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1986.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1986.
- Summary:
- We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM.
- Notes:
- Print version record
- October 1986.
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