Tests of International CAPM with Time-Varying Covariances
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We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies of the assets (government obligations of
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美国国家经济研究局创建时间：
1987-07-01
