Karolyi, G. Andrew (contributor); … - 2001 - [Elektronische Ressource]
pricing model
(CAPM) must hold in the domestic country. However, in a world where domestic investors have
access to foreign … assets, the CAPM must hold in real terms using the world market portfolio.
Consequently:
[]
w
iiw
E(r ) r E(r ) rβ …
w
Cov(r , r )
Var(r )
. We call equation (2) the “world CAPM” to contrast it with the traditional
implementation of the …