A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

Bernard Dumas
Published Date
Copyright 1994
ISBN 0-226-26001-1
Internationalization of Equity Markets
Book: The Internationalization of Equity Markets
Book editor: Jeffrey A. Frankel
PUBLISHER: University of Chicago Press
Download Purchase Book

Related

Topics

Financial Economics
Portfolio Selection and Asset Pricing

Published From Paper

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
- Working Paper
Previous work by Dumas and Solnik (1993) has shown that a CAPM which incorporates foreign-exchange risk premia (a so-...

More from NBER

In addition to working papers, the NBER disseminates affiliates’ latest findings through a range of free periodicals — the NBER Reporter, the NBER Digest, the Bulletin on Retirement and Disability, the Bulletin on Health, and the Bulletin on Entrepreneurship — as well as online conference reports, video lectures, and interviews.

2024, 16th Annual Feldstein Lecture, Cecilia E. Rouse," Lessons for Economists from the Pandemic" cover slide
2024, 16th Annual Feldstein Lecture, Cecilia E. Rouse," Lessons for Economists from the Pandemic"
  • Feldstein Lecture
Cecilia Rouse, president of the Brookings Institution and a professor at Princeton University, who chaired the Council...
2024 Methods Lecture, Susan Athey, "Analysis and Design of Multi-Armed Bandit Experiments and Policy Learning"
2024 Methods Lecture, Susan Athey, "Analysis and Design of Multi-Armed Bandit Experiments and Policy Learning"
  • Methods Lectures
Background Materials:backgroundAthey, Susan, Undral Byambadalai, Vitor Hadad, Sanath Kumar Krishnamurthy, Weiwen Leung...
2024, Economics of Social Security Panel, "Earnings Inequality and Payroll Tax Revenues"
2024, Economics of Social Security Panel, "Earnings Inequality and Payroll Tax Revenues"
  • Panel Discussion