@techreport{NBERw2054,
title = "A Test of International CAPM",
author = "Charles Engel and Anthony P. Rodrigues",
institution = "National Bureau of Economic Research",
type = "Working Paper",
series = "Working Paper Series",
number = "2054",
year = "1986",
month = "October",
doi = {10.3386/w2054},
URL = "http://www.nber.org/papers/w2054",
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.},
}