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An international CAPM for partially integrated markets: Theory and empirical evidence · Study

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ArticleAn international CAPM for partially integrated markets: Theory and empirical evidence

Mohamed El Hédi Arouri2012

Article2012

An international CAPM for partially integrated markets: Theory and empirical evidence

Mohamed El Hédi Arouri · Duc Khuong Nguyen · Kuntara Pukthuanthong

62 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 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.]1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1992

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Details

Year2012

Typearticle

Published2012-05-17

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations62

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2012.05.004

openalex_workW3122569741

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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