A test of international CAPM
AbstractWe propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Research Paper with number 8822.
Date of creation: 1988
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