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La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?

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  • Mohamed El Hedi Arouri

    (LEO)

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.

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File URL: http://arxiv.org/pdf/0905.3891
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 0905.3891.

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Date of creation: May 2009
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Handle: RePEc:arx:papers:0905.3891

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Web page: http://arxiv.org/

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Cited by:
  1. Mohamed El Hedi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 0(5), pages 945-959.

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