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Risk-free rate
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We study weekly portfolio returns from 23 developed markets. We choose to study returns at a weekly frequency to avoid the problems caused by nonsyn- chronous trading around the world at higher frequencies. All returns are U.S. dollar denominated, and we calculate excess returns by subtracting the U.S. weekly T-bill rate, which is obtained from the Center for Research in Security Prices (CRSP) riskfree file. 1 Our selection of developed countries matches the countries currently in the Morgan Stanley Developed Country Index. Data for the United States are from Compustat and CRSP.
132p
bocapchetnguoi
05-12-2012
61
4
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