| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2054 |
| 来源ID | Working Paper 2054 |
| A Test of International CAPM | |
| Charles Engel; Anthony P. Rodrigues | |
| 发表日期 | 1986-10-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM. |
| URL | https://www.nber.org/papers/w2054 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559308 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Anthony P. Rodrigues. A Test of International CAPM. 1986. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2054.pdf（176KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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