Risk Premium in an International Framework: Is the Exchange Rate Risk Priced?
Arouri, Mohamed El Hédi
Risk Premium in an International Framework: Is the Exchange Rate Risk Priced? - 2006.
9
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.
Risk Premium in an International Framework: Is the Exchange Rate Risk Priced? - 2006.
9
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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