TY  - JOUR
AU  - Engel,Charles
AU  - Rogers,John H.
TI  - Relative Returns on Equities in Pacific Basin Countries
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4655
PY  - 1994
Y2  - February 1994
UR  - http://www.nber.org/papers/w4655
L1  - http://www.nber.org/papers/w4655.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

John Rogers
Federal Reserve Board
International Finance Division
Mail Stop 20
Washington, DC 20551
Tel: 202/452-2873
Fax: 202/452-6424
E-Mail: JOHN.H.ROGERS@FRB.GOV
AB  - 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.
ER  -