La prime de risque dans un cadre international: le risque de change est-il apprécié ?

Mohamed Arouri

Finance, 2006, vol. 27, issue 1, 131-170

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: 2006
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Related works:
Working Paper: La prime de risque dans un cadre international: le risque de change est-il appr\'eci\'e ? (2009)
Working Paper: La prime de risque dans un cadre international: le risque de change est-il apprécié ? (2009)
Working Paper: La prime de risque dans un cadre international: le risque de change est-il apprécié? (2006)
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