Relative Returns on Equities in Pacific Basin Countries

   (294 K)

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.

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. ,
• Exchange Rate Policy and Interdependence: Perspectives from the Pacific Basin, Reuben Glick and Michal M. Hutchinson, eds. Cambridge University Press , 1994.

This paper is available as PDF (294 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX