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

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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
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