Geo-Political Risk-Augmented Capital Asset Pricing Model and the Effect on Long-Term Stock Market Returns
This paper examines the capital - asset pricing model (CAPM) which has been extended with a factor for geo-political risk. I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-Macbeth Regression with Newey-West standard er...
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| Format: | Others |
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Scholarship @ Claremont
2018
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/1764 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2853&context=cmc_theses |