| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w4459
|
| 来源ID | Working Paper 4459
|
| The World Price of Foreign Exchange Risk |
| Bernard Dumas; Bruno Solnik
|
| 发表日期 | 1993-09-01
|
| 出版年 | 1993
|
| 语种 | 英语
|
| 摘要 | We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w4459
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561835
|
推荐引用方式
GB/T 7714 |
Bernard Dumas,Bruno Solnik. The World Price of Foreign Exchange Risk. 1993.
|
|
文件名：
|
w4459.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
