Risk Premium in an International Framework: Is the Exchange Rate Risk Priced? (notice n° 166604)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 00934cam a2200157 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034058.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Arouri, Mohamed El Hédi |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Risk Premium in an International Framework: Is the Exchange Rate Risk Priced? |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2006.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 9 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 27 | 1 | 2006-06-01 | p. 131-170 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2006-1-page-131?lang=en">https://shs.cairn.info/journal-finance-2006-1-page-131?lang=en</a> |
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