Υποδείγματα αποτίμησης περιουσιακών στοιχείων στο διεθνές περιβάλλον

Abstract

As global asset allocation becomes more popular over the last decades, there has been a growing interest in understanding the cross sectional differences in different stock-market returns. The purpose of this thesis is to identify the prices of beta risk associated with world market and world consumption in average excess returns for a set of OECD national stock index portfolios within the international capital asset pricing model; the consumption based international asset-pricing framework, and a combination of both for two samples of data. The first one includes available cross-sectional stock-market returns from 1988 to 2002 for 23 countries and the second one is an extended one including observations from the first panel (1988-2002) and cross sectional stock-market returns for the 17 (out of the 23) countries during the period 1970-1988. The thesis proceeds as follows. Section 1 introduces the theme, which is necessary for the reader to understand the discussion. Section 2 makes a review of the literature of asset pricing models including the static international capital asset pricing model and the classic consumption capital asset pricing model and the implications for international asset pricing. Section 3 contains the empirical work on the subject, which includes data manipulation and evaluation of the regressions. Section 4 provides for the conclusion of the thesis while Section 5 includes all references and bibliography.