EconPapers    
Economics at your fingertips  
 

A New Approach to International Arbitrage Pricing

Ravi Bansal, David A Hsieh and S Viswanathan ()

Journal of Finance, 1993, vol. 48, issue 5, 1719-47

Abstract: This paper uses a nonlinear arbitrage-pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage-pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage-pricing model does an adequate job of explaining the time-series behavior of a cross section of international returns. Copyright 1993 by American Finance Association.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (64) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819931 ... O%3B2-1&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:48:y:1993:i:5:p:1719-47

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-09-12
Handle: RePEc:bla:jfinan:v:48:y:1993:i:5:p:1719-47