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La determination des primes de risque et l'integration des marches boursiers canadien et american (The Determination of Risk Premiums and the Integration of the Canadian and American Stock Markets. With English Summary.)

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  • Benoit Carmichael
  • Lucie Samson
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    Abstract

    In this paper, the authors consider the restrictions imposed on excess returns denominated in different currencies by a dynamic optimization model. The restrictions are tested on stock market data from the New York Stock Exchange and the Toronto Stock Exchange. In the first part of the paper, the authors establish the (partial) predictability of these excess returns. They then impose the constraint that they move proportionally to one another. The authors' results suggest that there is a single latent variable responsible for the measured fluctuations in both markets.

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    File URL: http://links.jstor.org/sici?sici=0008-4085%28199608%2929%3A3%3C595%3ATDORPA%3E2.0.CO%3B2-9
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    Bibliographic Info

    Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

    Volume (Year): 29 (1996)
    Issue (Month): 3 (August)
    Pages: 595-614

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    Handle: RePEc:cje:issued:v:29:y:1996:i:3:p:595-614

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