An Empirical Investigation of International Asset Pricing
用美日英法四国大量资产数据检验多种资产定价模型，发现多因子模型优于单指数模型，尤其能解释资产收益的季节性，且模型表现受国际市场监管环境变化影响。
We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States, Japan, the United Kingdom, and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. We find that multifactor models tend to outperform single-index models in both domestic and international forms especially in their ability to explain seasonality in asset returns. We also find that the behavior of the models is affected by changes in the regulatory environment in international markets.