La prime de risque dans un cadre international : le risque de change est-il apprécié ? - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2009

La prime de risque dans un cadre international : le risque de change est-il apprécié ?

Abstract

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.
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Dates and versions

hal-00387124 , version 1 (24-05-2009)

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Mohamed El Hedi Arouri. La prime de risque dans un cadre international : le risque de change est-il apprécié ?. 2009. ⟨hal-00387124⟩
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