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A pure foreign exchange asset pricing model

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  • Roll, Richard
  • Solnik, Bruno

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 7 (1977)
Issue (Month): 2 (May)
Pages: 161-179

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Handle: RePEc:eee:inecon:v:7:y:1977:i:2:p:161-179

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Web page: http://www.elsevier.com/locate/inca/505552

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Cited by:
  1. Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-78, October.
  2. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Scandinavian forward discount bias risk premia," Economics Letters, Elsevier, vol. 73(1), pages 65-72, October.
  3. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
  4. Richard E. Baldwin, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands," NBER Working Papers 3319, National Bureau of Economic Research, Inc.
  5. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 157-174.
  6. González, Fernando & Launonen, Simo, 2005. "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 0569, European Central Bank.
  7. Henri Loubergé, 1980. "Le risque de change existe-t-il?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 116(IV), pages 385-402, December.
  8. Jeffrey A. Frankel, 1981. "Estimation of portfolio-balance functions that are mean-variance optimizing: the mark and the dollar," International Finance Discussion Papers 188, Board of Governors of the Federal Reserve System (U.S.).
  9. Richard M. Levich, 1979. "Analyzing the Accuracy of Foreign Exchange Advisory Services: Theory AndEvidence," NBER Working Papers 0336, National Bureau of Economic Research, Inc.
  10. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 291-311, October.
  11. Alberto Giovannini, 1980. "The deviations from interest rate parity along the term structure of forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(2), pages 225-234, June.
  12. Nathan Sheets, 1995. "Capital flight from the countries in transition: some theory and empirical evidence," International Finance Discussion Papers 514, Board of Governors of the Federal Reserve System (U.S.).
  13. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  14. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
  15. David A. Hsieh, 1982. "Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats," NBER Working Papers 0843, National Bureau of Economic Research, Inc.
  16. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA.

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