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ReportA generalisation of the international asset pricing model

Piet M. F. A. Sercu1980

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Reportgreen1980

A generalisation of the international asset pricing model

Piet M. F. A. Sercu

89 citations·0/0 files stored·Lirias

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Economic theories and models Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1977Foundations of Finance.1975The Demand for Index Bonds 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS 1978THE THEORY OF THE TRADING FIRM REVISITED

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Year1980

Typereport

Published1980-01-01

VenueLirias

Languageen

Citations89

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ShelfEconomic theories and models

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1996Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias 1999What is the International Dimension of International Finance?2001A Comparison of Cost of Equity Estimates of Local and Global CAPMs 2014The International CAPM Redux 1993Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule*