Risk Premium in an International Framework: Is the Exchange Rate Risk Priced?
Type de matériel :
TexteLangue : français Détails de publication : 2006.
Ressources en ligne : Abrégé : In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.
Nous n'avons pas d'exemplaire de ce document
9
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.
Réseaux sociaux