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La prime de risque dans un cadre international: le risque de change est-il appr\'eci\'e ?

Mohamed AROURI ()

Papers from arXiv.org

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.

Date: 2009-05
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Working Paper: La prime de risque dans un cadre international: le risque de change est-il apprécié ? (2009) Downloads
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