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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.

Suggested Citation

  • Salem Boubakri, 2009. "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," EconomiX Working Papers 2009-5, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2009-5
    as

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    File URL: http://economix.fr/pdf/dt/2009/WP_EcoX_2009-05.pdf
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    References listed on IDEAS

    as
    1. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    2. 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 527-566.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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