| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w17261
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| 来源ID | Working Paper 17261
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| Global Asset Pricing |
| Karen K. Lewis
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| 发表日期 | 2011-07-28
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| 出版年 | 2011
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| 语种 | 英语
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| 摘要 | Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to overweight their asset portfolios in local equity. The stock prices of firms that begin to trade across borders increase in response to this information. Foreign exchange markets also display anomalous relationships. The forward rate predicts the wrong sign of future movements in the exchange rate, implying that traders can make profits by borrowing in lower interest rate currencies and investing in higher interest rate currencies. Furthermore, the sign of the foreign exchange premium changes over time, a fact difficult to reconcile with consumption variability. In this review, I describe the implications of the current body of research for addressing these and other global asset pricing challenges. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
|
| URL | https://www.nber.org/papers/w17261
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574936
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推荐引用方式
GB/T 7714 |
Karen K. Lewis. Global Asset Pricing. 2011.
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文件名：
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w17261.pdf
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格式：
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Adobe PDF
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