Pricing power and time-variation of global factor proxies
The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill, and change in spread between Baa and Aaa rated bonds; and ascertain wh