| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7157 |
| 来源ID | Working Paper 7157 |
| An International Dynamic Asset Pricing Model | |
| Robert J. Hodrick; David Tat-Chee Ng; Paul Sengmueller | |
| 发表日期 | 1999-06-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices. We extend Campbell's (1996) asset-pricing model to investigate international equity returns. We also utilize and evaluate recent evidence on the predictability of stock returns. We find some evidence for the role of hedging demands in explaining stock returns and compare the predictions of the dynamic model to those from the static CAPM. Both models fail in their predictions of average returns on portfolios of high book-to-market stocks across countries. |
| 主题 | Financial Economics ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w7157 |
| 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/564692 |
| 推荐引用方式 GB/T 7714 | Robert J. Hodrick,David Tat-Chee Ng,Paul Sengmueller. An International Dynamic Asset Pricing Model. 1999. |
| 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 | ||
| w7157.pdf（210KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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