| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4660 |
| 来源ID | Working Paper 4660 |
| What Determines Expected International Asset Returns? | |
| Campbell R. Harvey; Bruno Solnik; Guofu Zhou | |
| 发表日期 | 1994-02-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns. |
| 主题 | International Economics ; International Finance ; Financial Economics |
| URL | https://www.nber.org/papers/w4660 |
| 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/562046 |
| 推荐引用方式 GB/T 7714 | Campbell R. Harvey,Bruno Solnik,Guofu Zhou. What Determines Expected International Asset Returns?. 1994. |
| 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 | ||
| w4660.pdf（624KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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