Engel, Charles; Rodrigues, Anthony P - In: Journal of Applied Econometrics 4 (1989) 2, pp. 119-38
We perform maximum-likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time as the supplies of assets change and as the conditional covariances or...