In this research, we propose to explore the empirical implications from international asset pricing models. In the existing literature, the mean-return and mean-skewness relations have been heavily tested. We instead investigate these issues from a global portfolio perspective. A parametric model that allows for time-varying idiosyncratic volatility and idiosyncratic skewness is proposed. Furthermore, we assess the pricing implication of the idiosyncratic volatility and idiosyncratic skewness on the expected market index returns. The conclusions drawn from this research will provide insights to the international portfolio decision. 研究期間：10008 ~ 10107
