EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_271_0131 (application/pdf)
http://www.cairn.info/revue-finance-2006-1-page-131.htm (text/html)
free

Related works:
Working Paper: La prime de risque dans un cadre international: le risque de change est-il appr\'eci\'e ? (2009) Downloads
Working Paper: La prime de risque dans un cadre international: le risque de change est-il apprécié ? (2009) Downloads
Working Paper: La prime de risque dans un cadre international: le risque de change est-il apprécié? (2006)
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:cai:finpug:fina_271_0131

Access Statistics for this article

More articles in Finance from Presses universitaires de Grenoble
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().

 
Page updated 2021-07-06
Handle: RePEc:cai:finpug:fina_271_0131