Asset Pricing in the International Economy /
This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification...
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| Μορφή: | Επιστημονικό περιοδικό |
| Γλώσσα: | English |
| Έκδοση: |
Washington, D.C. :
International Monetary Fund,
1993.
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| Σειρά: | IMF Working Papers; Working Paper ;
No. 1993/015 |
| Διαθέσιμο Online: | Full text available on IMF |
| Περίληψη: | This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns. |
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| Περιγραφή τεκμηρίου: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Φυσική περιγραφή: | 1 online resource (46 pages) |
| Μορφή: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Πρόσβαση: | Electronic access restricted to authorized BRAC University faculty, staff and students |