An empirical study of a conditional international asset pricing model for US, Japanese, and European stock and government bond markets

The dissertation consists of three papers dedicated to empirical tests of a multivariate conditional international Capital Asset Pricing Model (CAPM). The aim is to evaluate to what extent such a model can explain stock and government bond returns in the US, Japan and Europe over the last 10 to 15 years, and whether the model can be usefully employed in global tactical asset allocation. The starting point is the international CAPM of Adler and Dumas (1983), which is made conditional through a multivariate GARCH-in-mean specification. The additional assumption that local inflation rates are zero or deterministic reduces inflation risk premia to currency risk premia. Data are analyzed at weekly frequency. The first paper introduces regime switching GARCH parameters. The second paper adds government bonds to the analysis, and evaluates four different models for the price of market risk. The third paper introduces regime switching prices of risk and intercept terms


Publication infos:
Genève, Institut universitaire de hautes études internationales, 2002
Publication year:
2002
Number of pages:
[153] p.
PhD Director(s):
Directeur de thèse: Professeur Hans Genberg
Call number:
HEITH 648



 Record created 2011-06-03, last modified 2018-01-28


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