Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière
Salem Boubakri ()
No 2009-5, EconomiX Working Papers from University of Paris Nanterre, EconomiX
This study tests an international extension of the Asset Pricing Model (CAPM) based on the coexistence of two risk causes. The first cause is linked to the market portfolio and the second one is required by expectations about the variation of exchange rates. Through an application to various developed and emerging countries, we show that the exchange risk premium in the ICAPM is statistically and economically significant and contribues to the formation of the total risk premium by using the conditional approach of exchange rate variations.
Keywords: Exchange risk premium; Purchasing Power Parity; conditional International Capital Asset Pricing Model (ICAPM) (search for similar items in EconPapers)
JEL-codes: C32 F31 G11 (search for similar items in EconPapers)
Pages: 28 pages
New Economics Papers: this item is included in nep-cba and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2009-5
Access Statistics for this paper
More papers in EconomiX Working Papers from University of Paris Nanterre, EconomiX Contact information at EDIRC.
Bibliographic data for series maintained by Valerie Mignon ().