A currency index global capital asset pricing model

Thomas J. O’Brien and Walter Dolde

European Financial Management, 2000, vol. 6, issue 1, 7-18

Abstract: The application of an international capital asset pricing relationship with two factors, the global market portfolio and a currency index, is described and illustrated. The model and illustration help demonstrate a problem with the common practice of adjusting an asset’s expected rate of return across currencies via nominal riskless interest rate differentials.

Date: 2000
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