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B. H. Solnik, The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure, The Journal of Finance, Vol. 29, No. 2, Papers and Proceedings of the Thirty-Second Annual Meeting of the American Finance Association, New York, New York, December 28-30, 1973 (May, 1974), pp. 365-378
Bruno Solnik (Wed,) studied this question.