ESTIMATING THE RISK-RETURN RELATIONSHIP IN THE INTERNATIONAL STOCK MARKET, ESTIMACIÓN DE LA RELACIÓN RENTABILIDADRIESGO EN EL MERCADO ACCIONARIO INTERNACIONAL

Daniel Botero Guzmán and Carlos Enrique Vecino Arenas

Revista Internacional Administracion & Finanzas, 2016, vol. 9, issue 5, 1-13

Abstract: The estimation of the risk-return international relationship requires strong assumptions. One of them is perfect integration. This article attempts to validate if this assumption holds for emerging and developed countries. We propose an alternative model that fits significantly to the risk-return relationship of the countries. Multivariable linear regression is used and validated by a robust regression. The results show that the CAPM is the best model to explain the risk return relationship in developed countries. Emerging markets remain segmented and are affected by specific risks which may explain over 40% of their returns

Keywords: Return; Risk; Model; Estimate; Partial Integration (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:riafin:v:9:y:2016:i:5:p:1-13

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