E - Companion of “ Asset Pricing with Spatial Interaction ”
نویسندگان
چکیده
E-Companion of “Asset Pricing with Spatial Interaction” by Steven Kou, Xianhua Peng, and Haowen Zhong The E-Companion is organized as follows. Section EC.1 presents the mean-variance analysis with spatial interaction. Section EC.2 gives the proof of the S-CAPM theorem when there is a risk-free asset and when there is no risk free asset. The proof of the S-APT theorems is given in Section EC.3. Section EC.4 develops the econometric tools for implementing the S-APT Model. At last, Section EC.5 reports the spatial weight matrices, S&P credit ratings of eurozone countries and states of the USA, and parameter estimates of S-APT models in the empirical studies.
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