A Test of International CAPM

25 Pages Posted: 28 Dec 2006 Last revised: 14 Aug 2010

See all articles by Charles M. Engel

Charles M. Engel

University of Wisconsin - Madison - Department of Economics; National Bureau of Economic Research (NBER); University of Washington - Department of Economics

Anthony P. Rodrigues

Federal Reserve Bank of New York

Date Written: October 1986

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.

Suggested Citation

Engel, Charles M. and Rodrigues, Anthony P., A Test of International CAPM (October 1986). NBER Working Paper No. w2054. Available at SSRN: https://ssrn.com/abstract=344839

Charles M. Engel (Contact Author)

University of Wisconsin - Madison - Department of Economics ( email )

1180 Observatory Drive
Madison, WI 53706
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608-262-3697 (Phone)
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National Bureau of Economic Research (NBER)

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University of Washington - Department of Economics ( email )

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206-543-6197 (Phone)
206-685-7477 (Fax)

Anthony P. Rodrigues

Federal Reserve Bank of New York ( email )

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New York, NY 10045
United States

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