Detail The Price of Risk in The United States and Japan   Oleh:  Kester, W. Carl ; Luehrman, Timothy A. Jenis: Article from Bulletin/Magazine Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 3 no. 3 (1991), page 223-242. Topik: risks; price of risk Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This study compares the price of risk in the United States and Japan to determine whether differences, if they exist, provide formal support for the widespread perception that capital costs are lower in Japan. The paper compares realized monthly excess returns on value - weighted market portfolios in each country to various measures of risk for each during the period 1982 – 1986. The data fail to reject the hypothesis that the price of risk is the same in both countries. For most model specifications, the estimated price of risk is (insignificantly) higher for the Japanese market. These and other recent results suggest that realized returns from capital markets cannot document a difference in capital costs during the mid - 1980s. Noise and heteroskedasticity in equity returns data for both countries prevent the detection of a significant difference in the price of risk, if one existed. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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