Did the EMS Reduce the Cost of Capital
Bibliographic Data
| ID | 9718764 |
|---|---|
| Authors | Enrique Sentana (0000-0003-2328-909X, CEMFI, Madrid, corresponding author) |
| Year | 2002 |
| Volume | 112 |
| Issue | 482 |
| Pages | 786-809 |
| Publication date | 2002-10-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00069 |
| OpenAlex | W2123342933 |
| Language | EN |
| Citations received | 3 |
| References cited | 20 |
We propose a dynamic APT multi-factor model with time-varying volatility for currency, bond and stock returns for ten European countries over the period 1977-1997. We exploit the cross-sectional dimension of the model to construct world portfolios, which, when added to the original list of assets, allow us to develop simple consistent methods of estimation and testing. Our results reject the implicit asset pricing restrictions, and suggest that decreases in idiosyncratic exchange rate risk tend to lower the cost of capital, although the effect is small. Finally, we assess the potential gains from increased stock market integration
Bond · Capital asset pricing model · Cost of capital · Currency · Econometrics · Economics · Exchange rate · Exploit · Financial economics · Microeconomics · Monetary economics · Stock (firearms · Volatility (finance · Computer Science · Engineering · Finance · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Monetary Policy and Economic Impact
The arbitrage theory of capital asset pricing
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
| Unique citing works | 3 |
|---|---|
| Citations per year | 0,16 |
| Citation span | 2007 - 2015 (9) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |