Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière
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.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: 200 Avenue de la République, Bât. G - 92001 Nanterre Cedex|
Web page: http://economix.fr
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Geert Bekaert & Campbell R. Harvey, 1994.
"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
- 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.
When requesting a correction, please mention this item's handle: RePEc:drm:wpaper:2009-5. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valérie Mignon)
If references are entirely missing, you can add them using this form.