TY  - JOUR
AU  - Engel,Charles
AU  - Rodrigues,Anthony P.
TI  - A Test of International CAPM
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2054
PY  - 1994
Y2  - April 1994
UR  - http://www.nber.org/papers/w2054
L1  - http://www.nber.org/papers/w2054.pdf
N1  - Author contact info:
Charles Engel
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706-1393
Tel: 608/262-3697
Fax: 608/262-2033
E-Mail: cengel@ssc.wisc.edu
AB  - 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.
ER  -