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Theory of international asset pricing
Time varying expected returns and
Testing a conditional version of
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aggregate arbitrage pricing theory asset pricing model asset returns assumed average beta pricing models business cycle capital asset pricing chapter conditional betas consumption growth consumption rates consumption-based model correlation covariance cross-sectional currency denotes economic empirical equation equilibrium equity premium puzzle estimates Euler-equation Eurocurrency excess returns expected excess returns expected returns factor model Fama/French forecasts framework G7 term spread global instrument variables global stock markets growth rates hedge Hence HJ bound hold home bias implies interest rate intertemporal intuition investment investors latent variable models linear marginal utility market portfolio market returns market risk premium mean reversion MSCI null hypothesis p-value payoff percent quarterly data R-square regression relative risk aversion restrictions risk aversion risk premium risk-free rate sample Sharpe ratio Solnik spanning Specifically stochastic discount factor stock prices stock returns sumption Swiss francs test assets tion unconditional variance ratios variation in expected varying vector volatility bounds