Trade Deficit News, Systematic Risk and the Crash of 1987
作者： Willem Thorbecke
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摘要: News of enormous trade deficits began affecting asset prices in the mid-1980s. Some have suggested that deficit news contributed to October 1987 stock market crash. This argument would be more compelling if were a source systematic risk prices, since then could increased perception riskiness holding equities occurred just before Here Arbitrage Pricing Theory is used demonstrate risk. evidence supports hypothesis new
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