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Tests of CAPM on an international portfolio of bonds and stocks

Author: Charles Engel; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, 1993.
Series: Working paper series (National Bureau of Economic Research), working paper no. 4598.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: This paper estimates and tests an international version of the Capital Asset Pricing Model. Investors from the U.S., Germany and Japan choose a portfolio that includes bonds and equities from each of these countries to maximize a function of the mean and variance of returns. Investors in each country evaluate returns in terms of their home currency. The CAPM does have some power in explaining ex ante  Read more...
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Additional Physical Format: Print version:
Engel, Charles.
Tests of CAPM on an international portfolio of bonds and stocks.
Cambridge, MA : National Bureau of Economic Research, 1993
(OCoLC)29816405
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Charles Engel; National Bureau of Economic Research.
OCLC Number: 51054266
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (31 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 4598.
Responsibility: Charles Engel.

Abstract:

Abstract: This paper estimates and tests an international version of the Capital Asset Pricing Model. Investors from the U.S., Germany and Japan choose a portfolio that includes bonds and equities from each of these countries to maximize a function of the mean and variance of returns. Investors in each country evaluate returns in terms of their home currency. The CAPM does have some power in explaining ex ante returns. It predicts fairly large risk premia on the equities, but small ones on bonds. The model is rejected, however, when tested against a more general alternative that allows for more investor heterogeneity than the CAPM.

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