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A New Approach to International Arbitrage Pricing

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Author Info
 Bansal, Ravi
Hsieh, David A
Viswanathan, S

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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.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 48 (1993)
Issue (Month): 5 (December)
Pages: 1719-47
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Handle: RePEc:bla:jfinan:v:48:y:1993:i:5:p:1719-47

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  1. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
  3. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
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  4. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
  5. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Michael Small & Chi Tse, 2003. "Determinism in Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(3), pages 1134-1134. [Downloadable!] (restricted)
  7. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  9. Oxelheim, Lars, 2000. "Routes to Equity Market Integration - The Interplay between Politicians, Investors and Managers," Working Paper Series 526, Research Institute of Industrial Economics. [Downloadable!]
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  10. Craig Hiemstra & Charles Kramer, 1997. "Nonlinearity and Endogeneity in Macro-Asset Pricing," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(3), pages 61-76. [Downloadable!] (restricted)
  11. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Society for Economic Research, vol. 13(2), pages 71-88, Autumn. [Downloadable!]
  13. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  14. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Wayne E. Ferson & Campbell R. Harvey, 1993. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Working Papers 4595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  17. Cetin Ciner, 2001. "Energy Shocks and Financial Markets: Nonlinear Linkages," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(3), pages 1079-1079. [Downloadable!] (restricted)
  18. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society. [Downloadable!]
  19. Geert Bekaert & Michael S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  20. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  21. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 1994. "What Determines Expected International Asset Returns?," NBER Working Papers 4660, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
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