NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Relative Returns on Equities in Pacific Basin Countries

Charles Engel, John H. Rogers

NBER Working Paper No. 4655
Issued in February 1994
NBER Program(s):   IFM

We examine the factors that determine the differences in ex ante returns on equities in eleven Pacific Basin countries. Our concern is whether real return differentials are primarily caused by nominal return differentials or expected changes in real exchange rates. We find that nominal return differentials account for most of the difference, which suggests that either there is not free mobility of capital between the countries of our study or that there are significant differences in the riskiness of returns across countries. We do not find a significant relationship between the size of the return differentials and the flexibility of the nominal exchange rate.

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Document Object Identifier (DOI): 10.3386/w4655

Published:

  • Charles Engel & John H. Rogers, 1992. "Relative returns on equities in Pacific Basin countries," Proceedings, Federal Reserve Bank of San Francisco, pages 48-67. citation courtesy of
  • Exchange Rate Policy and Interdependence: Perspectives from the Pacific Basin, Reuben Glick and Michal M. Hutchinson, eds. Cambridge University Press , 1994.

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