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

stress-test

Exploring the time-variation of expected returns on international markets,t important findings: There exist some global economic factors which significantly move asset prices worldwide. The return on the world market portfolio, shifts in global long term-interest rates, and the change in the external value of the numeraire currency, the Swiss franc, have an impact on both

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On contributions and practical implications of this study,ucture as well as the time-evolution of returns and expected returns on international markets. The examination includes monthly data of seventeen stock markets and eight bond markets over the period from February 1982 to February 1995. Returns are denominated in Swiss francs. To explore the global t

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https://doi.org/10.1057/9780230596504beta 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

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https://doi.org/10.1057/9781137488459rest 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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