Asgharian, Hossein; Karlsson, Sonnie - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006
The paper analyses the ability of a nonlinear asset pricing model suggested by Dittmar (2002) to explain the returns on international value and growth portfolios. For comparison we use some competing pricing models; such as the ICAPM, the exchange rate risk augmented ICAPM and the international...