TAILIEUCHUNG - The Internationalization of Equity Markets

While BLM regulations set minimum amounts for bonds, they also require bonds in an increased amount in certain circumstances and authorize BLM to require an increased bond amount when the operator poses a risk due to certain factors. First, when an operator who has failed to plug a well or reclaim lands in a timely manner that resulted in BLM making a demand on a bond in the prior 5 years applies for a new permit to drill, BLM must require a bond in an amount equal to the BLM cost estimate for plugging the well and reclaiming the disturbed. | This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title The Internationalization of Equity Markets Volume Author Editor Jeffrey A. Frankel editor Volume Publisher University of Chicago Press Volume ISBN 0-226-26001-1 Volume URL http books fran94-1 Conference Date October 1-2 1993 Publication Date January 1994 Chapter Title Tests of CAPM on an International Portfolio of Bonds and Stocks Chapter Author Charles M. Engel Chapter URL http chapters c6273 Chapter pages in book p. 149 - 183 3 Tests of CAPM on an International Portfolio of Bonds and Stocks Charles M. Engel Introduction Portfolio-balance models of international asset markets have enjoyed little success These studies frequently investigate a very limited menu of assets and often impose the assumption of a representative This study takes a step toward dealing with those problems by allowing some investor heterogeneity and by allowing investors to choose from a menu of assets that includes bonds and stocks in a mean-variance optimizing framework. The model consists of . German and Japanese residents who can invest in equities and bonds from each of these countries. Investors can be different because they have different degrees of aversion to risk. More important within each country nominal prices paid by consumers denominated in the home currency are assumed to be known with certainty. This is the key assumption in Solnik s 1974 capital asset pricing model CAPM . Investors in each country are concerned with maximizing a function of the mean and variance of the returns on their portfolios where the returns are expressed in the currency of the investors residence. Thus . investors hold the portfolio that is efficient in terms of the mean and variance of dollar returns Germans in terms of mark returns and Japanese in terms of yen returns. The estimation technique is closely related to the CASE .

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