A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

Bernard Dumas
Published Date
Copyright 1994
ISBN 0226260011
Internationalization of Equity Markets
Book: The Internationalization of Equity Markets
Book editor: Jeffrey A. Frankel
PUBLISHER: University of Chicago Press
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  • Bernard Dumas, The Internationalization of Equity Markets (University of Chicago Press, 1994), chap. 1, https://www.nber.org/books-and-chapters/internationalization-equity-markets/test-international-capm-using-business-cycles-indicators-instrumental-variables.

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Topics

Financial Economics
Portfolio Selection and Asset Pricing

Published From Paper

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
- Working Paper
Previous work by Dumas and Solnik (1993) has shown that a CAPM which incorporates foreign-exchange risk premia (a so-...

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