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| Author: | Canova, F. Nicoló, G. de |
| Title: | The properties of the equity premium and the risk-free rate: an investigation across time and countries |
| Journal: | IMF Staff papers
2003 : VOL. 50:2, p. 222-249 |
| Index terms: | CAPM Country comparisons Equities Risk premium |
| Language: | eng |
| Abstract: | The relationship between the equity premium and the risk-free rate is examined over time for Group of Seven countries. The existence of subsample instabilities, cross-country diffrences is shown, and it is examined whether a consumption-based CAPM model is able to explain the heterogeneity of the data when cross-country, and time-series differences in technology parameters are accounted for. |
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