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- Specification Tests of International Asset Pricing Models
- This study evaluates the cross-sectional pricing performances of several international asset pricing models. When betas and risk premiums are constant over business cycles, none of the models can pass the specification test. By allowing time-varying betas and risk premiums in conditional models, most models can pass the specification test. Finally...
- White papers 2003-02-01
Additional Resources
- International Market Integration for Natural Gas? A Cointergration Analysis of Prices in Europe, North America, and Japan
- This paper examines the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The hypothesis is that there was a certain split of prices between Europe and North America. The relationship between the international gas marker prices and their relation to...
- White papers 2004-01-23
- The Rise In Comovement Across National Stock Markets: Market Integration Or IT Bubble?
- A stylized fact in the portfolio diversification literature is that diversifying across countries is more effective than diversifying across industries in terms of risk reduction. However, with the rise in co movement across national stock markets since the mid-1990s, this no longer appears to be true. This article explore whether...
- White papers 2002-09-01
- A Common Real Estate Risk Premium in Time-Varying Returns of Real Estate and Financial Assets
- The market integration hypothesis in the latent common market factors study by Mei and Liu (1994) suggests that when the risk premiums of the investment can be captured by common risk beta in overall stock, both and real estate markets, the financial and real estate markets can be deemed to...
- White papers 2004-08-27
- Amazon: Will It Kindle Vertical Integration?
- Sramana Mitra submits: I wrote a controversial Forbes column, How Amazon Could Change Publishing, in the spring. In this column, I submitted that Amazon could disintermediate traditional publishers and agents, and free up money that they could share with authors. My hypothesis was based on the fact that since...
- External links 2008-10-01
- Performance of Western Hemisphere Trading Blocs: A Cost-Corrected Gravity Approach
- This paper studies the performance of the four Western Hemisphere trading blocs during the period 1978-2001. For the North American Free Trade Agreement NAFTA, trade integration outweighed trade diversion; for MERCOSUR, increased integration and trade diversion went hand in hand; for the Central American Common Market CACM and the Andean...
- White papers 2004-06-01
- Pernod to Boost Investment Behind Strategic Brands
- Dear Client: While some companies are cutting back in Advertising and Promotional (A&P) spend, Pernod Ricard is investing more in its strategic brands, the company said today in its fiscal year (ended June 30) earnings call. And although 2009 was a â??difficultâ?? year for everyone marred by consumers shifting...
- News items 2009-09-03
- European Union Enlargement and Equity Markets in Accession Countries
- The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market. It...
- White papers 2005-09-01
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