What are the global sources of rational variation in international equity returns?
Dept. of Economics, University of California, Santa Cruz, 1997 - Business & Economics - 29 pages
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13 percent block matrix coefficient of determination correlation coefficients cross correlation discount-rate variables distribution Eurodollar Eurodollar-Treasury yield spread expected cash flows expected future cash explained Fama first-order autoregression fitted fitted to TED future cash flows global economic variables global shocks Global Sources homoskedastic incremental explanatory power industrial production index latent root maximal portfolio maximal R y)s maximal world portfolio maximum-latent-root monotone function monthly and quarterly MSCI world index multivariate statistical Nirvikar Singh null hypothesis OECD Period January 1970 production growth rates proxies for discount-rate proxies for time-varying quarterly horizons quarterly real returns Rational Variation real equity return Real Exchange Rates real return variation regressions residuals from first-order robust Sample Period January shocks to expected source of variation Sources of Rational stock market returns t+3 t+6 t+9 TED and TERM TEDSH and TERMSH term spreads time-varying expected returns U.S. Treasury bill vector Wald test world dividend yield Yin-Wong Cheung