Titlebook: Global Risk Premia on International Investments; Peter Oertmann Textbook 1997 Springer Fachmedien Wiesbaden 1997 Arbitragepreistheorie.Ass

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Introduction,world market grew moderately from 22 per cent to around 26 per cent. The Japanese stock market, most notably, contributed to the rapid growth of global equity capitalization; this country’s world market share increased from about 13 per cent in the mid-seventies to 27 per cent in March 1995. In rece

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ANNUL

Introduction,ional markets have grown considerably in size. In terms of U.S. dollars, the capitalization of the world stock market increased from approximately 890 billion at the end of 1974 to over 13′200 billion in March 1995. Likewise, the nominal value of debt outstanding on international bond markets expand

Arb853

The structure of beta pricing models,eory of finance includes the following notion: the expected return of any asset is simply related to the systematic risk of the asset’s period-by-period return. Then, cross-sectional differences in regard to long-term expected returns in the capital markets are entirely explained by differences in t

Arb853

Beta pricing in an international environment,tream theories of beta pricing discussed in Chapter 2, namely the single-beta CAPM, the APT, and the multi-beta ICAPM, can be extended to international pricing relationships on principle. However, such extensions require assumptions on the behavior of exchange rates for currencies, and the consumpti

AGGER

Empirical design,beta pricing models can be applied straightforwardly for an empirical assessment of the research questions addressed in this work. Recall that the major intention of my thesis is to explore the global forces affecting the evolution of asset prices over time as well as the long-term expected returns

補(bǔ)充

Characteristics of the input data,rest rates, interest rate spreads, exchange rates, and commodity prices. All data series are taken from the Datastream database, which is available at the Swiss Institute of Banking and Finance at the University of St.Gallen.. This chapter provides comprehensive information on the original sources o

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