Time-Varying International Diversification and the Forward Premium
نویسندگان
چکیده
منابع مشابه
Time-Varying Beta and the Value Premium
We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable selection procedure. In the post-1963 sample, beta of the value premium comoves strongly with unemployment, inflation, and price-earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on business conditions: It falls sharply and becomes ...
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[Acknowledgment] This research was supported in part by the National Science Foundation (CAREER SES 0552089), UTD Provost’s Distinguished Professorship, Brain Korea 21 Project, and Ohio State University CIBER and Center for East Asian Studies. Earlier versions were presented at the 8th Conference on the Theories and Practices of Securities and Financial Markets (Kaohsiung, 1999), Conference on ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1928890