首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Market integration in developed and emerging markets: Evidence from the CAPM
Institution:1. Darden Graduate School of Business Administration, University of Virginia, USA;2. Windham Capital Management, LLC, USA;3. State Street Global Markets, USA
Abstract:Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the regression – the home country or global index – depends on the level of global market integration. We present several new empirical observations on the pricing of stocks and market integration. We provide guidance on how practitioners should calculate beta on securities in various developed and emerging markets.
Keywords:
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号