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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

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Salem Boubakri, 2009. "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," Working Papers hal-04140890, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140890
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140890
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    References listed on IDEAS

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