search query: @indexterm International capital market / total: 53
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| Author: | Kasa, K. |
| Title: | Consumption-based versus production-based models of international equity markets |
| Journal: | Journal of International Money and Finance
1997 : OCT, Vol. 16:5, p. 653-680 |
| Index terms: | INTERNATIONAL CAPITAL MARKET CONSUMPTION PRODUCTION |
| Language: | eng |
| Abstract: | This paper compares the ability of two discount rate models to explain the cross-sectional and time-series variation of stock returns in the US, Japan, the UK, Germany and Canada. The data consist of quarterly returns on Morgan Stanley's Capital International indices for the period from January 1972 to March 1993. The two models considered are a consumption-CAPM, linking the discount rate to the intertemporal marginal rate of substitution in consumption and a production-CAPM, linking the discount rate to the intemporal marginal rate of transformation in production. The main result is that a production-based CAPM performs better than the consumption-based CAPM in explaining national stock market returns. |
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