An Exact Bayes Test of Asset Pricing Models with Application to International Markets
| dc.contributor.author | Avramov, Doron | |
| dc.contributor.author | Chao, John C. | |
| dc.date.accessioned | 2008-01-04T19:28:15Z | |
| dc.date.available | 2008-01-04T19:28:15Z | |
| dc.date.issued | 2006 | |
| dc.description.abstract | This paper develops and implements an exact finite-sample test of asset pricing models with time varying risk premia using posterior probabilities. The strength of our approach is that it allows multiple conditional asset pricing specifications, both nested and non-nested, to be tested and compared simultaneously. We apply our procedure to international equity markets by testing and comparing the international CAPM and conditional ICAPM versions of Fama and French (1998). The empirical evidence suggests that the best performing model is the ICAPM with the value premium constructed based on global earnings-to-price ratio. | en |
| dc.format.extent | 611894 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Avramov, Doron, and John Chao, 2006, “An Exact Bayes Test of Asset Pricing Models with Application to International Markets,” Journal of Business 79, 293-323. | en |
| dc.identifier.uri | http://hdl.handle.net/1903/7492 | |
| dc.language.iso | en_US | en |
| dc.publisher | Journal of Business of the University of Chicago | en |
| dc.relation.isAvailableAt | Robert H. Smith School of Business | en_us |
| dc.relation.isAvailableAt | Finance | en_us |
| dc.relation.isAvailableAt | Digital Repository at the University of Maryland | en_us |
| dc.relation.isAvailableAt | University of Maryland (College Park, MD) | en_us |
| dc.rights.license | © 2006 by Journal of Business of the University of Chicago. | |
| dc.subject | asset pricing model | en |
| dc.subject | time varying risk premia | en |
| dc.subject | nest pricing | en |
| dc.subject | non-nested pricing | en |
| dc.subject | CAPM | en |
| dc.subject | ICAPM | en |
| dc.title | An Exact Bayes Test of Asset Pricing Models with Application to International Markets | en |
| dc.type | Article | en |