Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market
Description:
Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances.
Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and…
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Date:
May 1988
Creator:
Jordan-Wagner, James M. (James Michael)
Partner:
UNT Libraries