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An Empirical Investigation of International Asset Pricing

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

71 Pages Posted: 25 Oct 2011  

Date Written: August 1, 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.

Keywords: International CAPM, International APT, International Asset Pricing

JEL Classification: G10, G12, F30

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: https://ssrn.com/abstract=1948791

Robert A. Korajczyk (Contact Author)

Northwestern University - Kellogg School of Management ( email )

Kellogg School of Management
2211 Campus Drive, Room 4357
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)

HOME PAGE: http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

Claude Viallet

INSEAD ( email )

Boulevard de Constance
77305 Fontainebleau Cedex
France

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