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A test of international CAPM

Author

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  • Charles Engel
  • Anthony P. Rodrigues

Abstract

We 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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Suggested Citation

  • Charles Engel & Anthony P. Rodrigues, 1988. "A test of international CAPM," Research Paper 8822, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednrp:8822
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    Cited by:

    1. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional mean-variance efficiency of the U.S. stock market," Research Paper 8901, Federal Reserve Bank of New York.

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