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.
Domains
Portfolio Management [q-fin.PM]Origin | Files produced by the author(s) |
---|
Loading...