| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4074 |
| 来源ID | Working Paper 4074 |
| Global Financial Markets and the Risk Premium on U.S. Equity | |
| K.C. Chan; G. Andrew Karolyi; Rene M. Stulz | |
| 发表日期 | 1992-05-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | We document that there is a significant foreign influence on the risk premium of U.S. assets. Using a bivariate GARCH-in-mean process for conditional expected excess returns, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of the return of these stocks with the return on a foreign index but is not related to its own conditional variance. Further, we are unable to reject the international version of the CAPM. Evidence is presented for different model specifications, multiple-day returns and alternative proxies of foreign stock returns including the Nikkei 225 Stock Average, Morgan Stanley Japan and Morgan Stanley EAFE indices. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4074 |
| 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/561417 |
| 推荐引用方式 GB/T 7714 | K.C. Chan,G. Andrew Karolyi,Rene M. Stulz. Global Financial Markets and the Risk Premium on U.S. Equity. 1992. |
| 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 | ||
| w4074.pdf（503KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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