La prime de risque dans un cadre international : le risque de change est-il apprécié ?
Résumé
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.
Domaines
Gestion de portefeuilles [q-fin.PM]Origine | Fichiers produits par l'(les) auteur(s) |
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