A Test of International CAPM /

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...

Ausführliche Beschreibung

1. Verfasser:

Engel, Charles

Körperschaft:

National Bureau of Economic Research

Weitere Verfasser:

Rodrigues, Anthony P.

Format:

Elektronisch E-Book

Sprache:

Englisch

Veröffentlicht:

Cambridge, Mass. National Bureau of Economic Research 1986.
Cambridge, Massachusetts : National Bureau of Economic Research, 1986.

Zusammenfassung:

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.

Umfang:

1 online resource: illustrations (black and white);

Anmerkungen:

October 1986.

Schlagworte:

Capital assets pricing model.