A Test of International CAPM
收藏NBER1986-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w2054
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We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the
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美国国家经济研究局创建时间：
1986-10-01
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