G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3131
DP3131 Does Tax Competition Raise Voter Welfare?
Tim Besley; Michael Smart
发表日期2002
出版年2002
语种英语
摘要This Paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. Global portfolios sorted on earnings-price ratio and market value, however, pose a special challenge. We find that an unconditional inter national CAPM cannot explain the cross-sectional variation in these portfolio returns. Interestingly, a conditional international asset-pricing model that includes foreign exchange risk factors is able to explain a large part of the variation in average returns. Our empirical work suggests that this model has the same explanatory ability as an inter national three-factor model, where zero-cost portfolios based on earnings-price ratios and market values are used in addition to the world market portfolio. Importantly, the loadings associated with the zero-cost portfolios are driven out by the characteristics themselves, indicating a misspecification.
主题Financial Economics
关键词Characteristics Conditional information Foreign exchange risk Hml Smb World capm
URLhttps://cepr.org/publications/dp3131
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/532153
推荐引用方式
GB/T 7714
Tim Besley,Michael Smart. DP3131 Does Tax Competition Raise Voter Welfare?. 2002.
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