Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging markets)...
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| Format: | Article |
| Language: | English |
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University of Finance and Management, Warsaw; Vistula University
2013-06-01
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| Series: | Contemporary Economics |
| Online Access: | http://ce.vizja.pl/en/download-pdf/id/283 |