Abstract

http://ssrn.com/abstract=1948791
 
 

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An Empirical Investigation of International Asset Pricing


Robert A. Korajczyk


Northwestern University - Kellogg School of Management

Claude Viallet


INSEAD

August 1, 1989

Review of Financial Studies, Vol. 2, No. 4, pp. 553-585, 1989

Abstract:     
We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States, Japan, the United Kingdom, and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. We find that multifactor models tend to outperform single-index models in both domestic and international forms especially in their ability to explain seasonality in asset returns. We also find that the behavior of the models is affected by changes in the regulatory environment in international markets.

Number of Pages in PDF File: 71

Keywords: International CAPM, International APT, International Asset Pricing

JEL Classification: G10, G12, F30

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Date posted: October 25, 2011  

Suggested Citation

Korajczyk, Robert A. and Viallet, Claude, An Empirical Investigation of International Asset Pricing (August 1, 1989). Review of Financial Studies, Vol. 2, No. 4, pp. 553-585, 1989. Available at SSRN: http://ssrn.com/abstract=1948791

Contact Information

Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
Claude Viallet
INSEAD ( email )
Boulevard de Constance
77305 Fontainebleau Cedex
France
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