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

Abstract: 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
Date: 2009
New Economics Papers: this item is included in nep-cba and nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2009-5

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