Are U.S. variables good predictors of foreign equity risk premiums?

Cleary, Sean; Schmitz, John J.

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dc.creator	Cleary, Sean
dc.creator	Schmitz, John J.
dc.date.accessioned	2014-03-05T19:33:58Z
dc.date.available	2014-03-05T19:33:58Z
dc.date.issued	1998
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25740
dc.description.abstract	We demonstrate that U.S. information variables provide statistically relevant information above and beyond an identical set of local information variables in the formation of international conditional expected returns. Despite this statistical significance, out-of-sample forecasts generated by our model fail to produce superior profitability when used in conjunction with a simple tactical asset allocation strategy.	en_CA
dc.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2014-03-05T19:33:58Z No. of bitstreams: 1 asb_proceedings_1998_cleary_s.pdf: 148168 bytes, checksum: 017d4faeba2163718966015584511de0 (MD5)	en
dc.description.provenance	Made available in DSpace on 2014-03-05T19:33:58Z (GMT). No. of bitstreams: 1 asb_proceedings_1998_cleary_s.pdf: 148168 bytes, checksum: 017d4faeba2163718966015584511de0 (MD5) Previous issue date: 1998	en
dc.format.extent	11 p.
dc.language.iso	en	en_CA
dc.publisher	Atlantic Schools of Business	en_CA
dc.subject.lcsh	Stocks -- Rate of return
dc.subject.lcsh	Risk-return relationships
dc.subject.lcsh	Asset allocation
dc.title	Are U.S. variables good predictors of foreign equity risk premiums?	en_CA
dc.type	Text	en_CA
dcterms.bibliographicCitation	Proceedings of the 28th Atlantic Schools of Business Conference, Acadia University, 1998