Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2006
incorporates the largest international stock markets,
namely the United States, Japan, the United Kingdom, the Pacific region (ex-Japan … characterized by a fairly high mean and low volatility. Returns in all but one
market (Japan) are strongly non-normal with skews and … returns in Japan is consistent with the strong rejections
for Japan in the two-moment CAPM tests reported in Harvey (1991) and …