| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3131 |
| 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 |
| URL | https://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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