Undiversifiable Returns in a CAPM Economy

The International CAPM When Expected Returns Are Time-Varying

This paper derives a dynamic version of the international CAPM. The exchange-rate risk factors and intertemporal hedging factors are derived endogenously in a model that builds upon Campbell (1993). We provide a theoretical foundation for empirical risk factors often used in international asset pricing, including dividend yields, forward premia and, especially, exchange-rate indices. The model ...

The Determinants of Stock Returns in a Small Open Economy

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly retur...

political economy of china in central asia

this research is about the political economy of china in central asia. in this research the political & economic interactions affected on chinas political economy in central asia are examined. chinas goal of presence in central asia including political-security, economic and energy goals is described in one part. in another part, the trade relations between china and central asian countries ar...

Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico

The stable long-run CAPM and the cross-section of expected returns

The discussion papers published in this series represent the authors' personal opinions and do not necessarily reflect the views of the Deutsche Bundesbank. Reproduction permitted only if source is stated. ISBN 3–935821–02–6 The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accu...