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La prime de risque dans un cadre international : le risque de change est-il apprécié ?

  • Mohamed El Hedi Arouri

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre, LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

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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Paper provided by HAL in its series Working Papers with number hal-00387124.

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Date of creation: 24 May 2009
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Handle: RePEc:hal:wpaper:hal-00387124
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00387124/en/
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