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Details van artikel 76 van 190 gevonden artikelen
| Titel: |
Global macroeconomic shocks, time-varying covariances and tests of the international CAPM |
| Auteur: |
Clare, Andrew O'Brien, Raymond Smith, Peter N. Thomas, Stephen |
| Verschenen in: |
Applied economics letters |
| Paginering: | Jaargang 3 (1996) nr. 2 pagina's 109-113 |
| Jaar: |
1996-02-01 |
| Inhoud: |
The mean variance efficiency (MVE) of a portfolio of international bonds and equities is tested using a CAPM model of excess returns. The conditional variances and covariances of the portfolio returns are allowed to time-vary according to shocks in up to three global macro-economic variables simultaneously. Athough the hypothesis of MVE is easily rejected within a static version of the CAPM this is not the case at conventional significance levels in the CAPM with macro-economic shocks. Results suggest that there exists a dominant role for US macroeconomic disturbances for international capital markets. Integrating macro-economic disturbances more fully into the CAPM may provide theory-consistent models which do not rely solely upon time-series representations of time-varying return variances and covariances such as ARCH. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 76 van 190 gevonden artikelen
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