TY  - JOUR
AU  - Hodrick,Robert J.
AU  - Ng,David Tat-Chee
AU  - Sengmueller,Paul
TI  - An International Dynamic Asset Pricing Model
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7157
PY  - 1999
Y2  - June 1999
UR  - http://www.nber.org/papers/w7157
L1  - http://www.nber.org/papers/w7157.pdf
N1  - Author contact info:
Robert J. Hodrick
Graduate School of Business
Columbia University
3022 Broadway
New York, NY 10027
Tel: 212/854-3413
Fax: 212/316-9219
E-Mail: rh169@columbia.edu

David Ng
252 Warren Hall
Cornell University
Ithaca, NY 14853
E-Mail: dtn4@cornell.edu
AB  - We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices.  We extend Campbell's (1996) asset-pricing model to investigate international equity returns.  We also utilize and evaluate recent evidence on the predictability of stock returns.  We find some evidence for the role of hedging demands in explaining stock returns and compare the predictions of the dynamic model to those from the static CAPM.   Both models fail in their predictions of average returns on portfolios of high book-to-market stocks across countries.
ER  -