|Statement||dby Claude J. Viallet.|
|Series||Working papers / INSEAD -- no.87/02|
|The Physical Object|
|Number of Pages||32|
An Empirical Investigation of International Asset Pricing Abstract We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States, Japan, the United Kingdom, and France. The models together with the hypothesis ofCited by: An Empirical Investigation of International Asset Pricing Robert A. Korajczyk 1 Kellogg Graduate School of Management, Northwestern University, Sheridan Road, Evanston, IL , USA and University of Chicago, Chicago, USACited by: "This book is at the intersection of modern time series and modern asset pricing theory Ken Singleton gives us the ultimate treatise of empirical asset pricing [I]t is sure to become a classic work in this field.", Economic Dynamics "Writing a treatise about empirical asset pricing is Cited by: Qiang Dai and Olesya V. Grishchenko, An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation, Quarterly Journal of Cited by:
An Empirical Investigation of International Asset Pricing. Review of Financial Studies, Vol. 2, No. 4, pp. , An Empirical Investigation of International Asset Pricing (August 1, ). Review of Financial Studies, Vol. 2, No. 4, pp. , Available at SSRN: Can Book-to-Market, Size, and Momentum Be Risk Factors that Cited by: ABSTRACT. Empirical tests are reported for Ross'  arbitrage theory of asset pricing. Using data for individual equities during the –72 period, at least three and probably four priced factors are found in the generating process of returns. Traded and Nontraded Goods Prices, and International Risk Sharing: An Empirical Investigation Giancarlo Corsetti, Luca Dedola, Francesca Viani. Chapter in NBER book NBER International Seminar on Macroeconomics (), Jeffrey Frankel and Christopher Pissarides, organizers (p. - ) Conference held June , Cited by: A number of aspects of empirical asset pricing make it a particularly attractive field for analysis with machine learning methods. First, two main research agendas have monopolized modern empirical asset pricing research. The first seeks to describe and understand differences in .
Using a large international equity market database that has not been previously used for such a purpose, this paper documents that value (i.e., high book-to-market) stocks outperform growth (i.e., low book-to-market) stocks, on average, in most countries during the January - December period, both absolutely and after adjusting for risk. This paper conducts a theoretical and empirical investigation of the pricing (and portfolio) implications of investment barriers in the context of international capital : Mika Vaihekoski. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller John Y. Campbell1 May 1Department of Economics, Littauer Center, Harvard University, Cambridge MA , and NBER. Email [email protected] Phone An empirical investigation of the capital asset, Page 2 Introduction Since the birth of the Capital Asset Pricing Model (CAPM), enormous efforts have been devoted to studies evaluating the validity of this model, a unique breakthrough and valuable contribution to the world of financial economics. Some empirical studies conducted, have.