An empirical investigation of international asset pricing |
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Authors: | Koracjzk RA; Viallet CJ |
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Institution: | 1 Kellogg Graduate School of Management, Northwestern University, 2001 Sheridan Road, Evanston, IL 60208-2006, USA and University of Chicago, Chicago, USA
2 INSEAD |
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Abstract: | We investigate several asset pricing models in an internationalsetting. We use data on a large number of assets traded in theUnited States, Japan, the United Kingdom, and France. The modeltogether with the hypothesis of capital market integration implytestable restrictions on multivariate regressions relating assetreturns to various benchmark portfolios. We find that multifactormodels tend to outperform single-index models in both domesticand international forms especially in their ability to explainseasonality in asset returns. We also find that the behaviorof the models is affected by change in the regulatory environmentin international markets. |
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