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A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

In: The Internationalization of Equity Markets

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Bernard Dumas
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This chapter was published in: Bernard Dumas The Internationalization of Equity Markets, , pages 23-58, 1994.

This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 6271.

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Related research
This chapter was published in the following book, which is listed on IDEAS:
Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1.
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  1. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Viviana Fernández, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo 203, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
    Other versions:
  4. Hubert De La Bruslerie & Jean Mathis, 1997. "L'intégration partielle des marchés financiers internationaux: modélisation et test empirique," Annales d'Economie et de Statistique, ADRES, issue 46, pages 05, Avril-Jui. [Downloadable!]
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