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A model of international asset pricing

Опубликовано на портале: 31-03-2003
Journal of Financial Economics. 1981.  Vol. 9. No. 4. P. 383-406. 
Describes the construction of an intertemporal model of international asset pricing. Admission of differences in consumption opportunity sets across countries; Description of how the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate; Implication that asset markets are internationally segmented. (Из Ebsco)