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The international CAPM when expected returns are time-varying · Study

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ArticleThe international CAPM when expected returns are time-varying

David T. Ng2004

Article2004

The international CAPM when expected returns are time-varying

50 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1980Macroeconomics and Reality 1976The arbitrage theory of capital asset pricing 1996Multifactor Explanations of Asset Pricing Anomalies 1973An Intertemporal Capital Asset Pricing Model 1991Efficient Capital Markets: II 1986Economic Forces and the Stock Market 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities

Cited by

2010How Important are Foreign Ownership Linkages for International Stock Returns?2011Information Environment and Equity Risk Premium Volatility Around the World 2008The Efficiency of the Greek Banking System and its Determinants 2003Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice between Global and Domestic CAPM 2004International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital

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1999An International Dynamic Asset Pricing Modelarticle · 19 shared references 2005An Intertemporal International Asset Pricing Model: Theory and Empirical Evidencearticle · 19 shared references 2005Financial Markets and the Real Economychapter · 16 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 16 shared references 2003Chapter 13 Consumption-based asset pricingchapter · 14 shared references 2006What Factors Drive Global Stock Returns?preprint · 14 shared references

Details

Year2004

Typearticle

Published2004-01-23

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jimonfin.2003.12.001

openalex_workW1577783419

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