| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5452 |
| DP5452 Protection for Sale Made Easy | |
| Richard Baldwin; Frédéric Robert-Nicoud | |
| 发表日期 | 2006-01-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We re-examine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets. |
| 主题 | Financial Economics |
| 关键词 | Implied cost of capital Risk-return tradeoff International integration |
| URL | https://cepr.org/publications/dp5452 |
| 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/534331 |
| 推荐引用方式 GB/T 7714 | Richard Baldwin,Frédéric Robert-Nicoud. DP5452 Protection for Sale Made Easy. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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