An International Dynamic Asset Pricing Model

Robert Hodrick (), David Ng () and Paul Sengmueller

No 7157, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices. We extend Campbell's (1996) asset-pricing model to investigate international equity returns. We also utilize and evaluate recent evidence on the predictability of stock returns. We find some evidence for the role of hedging demands in explaining stock returns and compare the predictions of the dynamic model to those from the static CAPM. Both models fail in their predictions of average returns on portfolios of high book-to-market stocks across countries.

JEL-codes: F3 G0 (search for similar items in EconPapers)
Date: 1999-06
New Economics Papers: this item is included in nep-dge, nep-fin and nep-ifn
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Published as International Tax and Public Finance, Vol. 6, no. 4 (November 1999): 597-620

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