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Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière

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  • Salem Boubakri

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.

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File URL: http://economix.fr/pdf/dt/2009/WP_EcoX_2009-05.pdf
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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2009-5.

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Length: 28 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:drm:wpaper:2009-5

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Postal: 200 Avenue de la République, Bât. G - 92001 Nanterre Cedex
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Web page: http://economix.fr
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Related research

Keywords: Exchange risk premium; Purchasing Power Parity; conditional International Capital Asset Pricing Model (ICAPM);

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  1. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
  2. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
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