| 000 | 00934cam a2200157 4500500 | ||
|---|---|---|---|
| 005 | 20250112034058.0 | ||
| 041 | _afre | ||
| 042 | _adc | ||
| 100 | 1 | 0 |
_aArouri, Mohamed El Hédi _eauthor |
| 245 | 0 | 0 | _aRisk Premium in an International Framework: Is the Exchange Rate Risk Priced? |
| 260 | _c2006. | ||
| 500 | _a9 | ||
| 520 | _aIn 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 | _nFinance | 27 | 1 | 2006-06-01 | p. 131-170 | 0752-6180 | |
| 856 | 4 | 1 | _uhttps://shs.cairn.info/journal-finance-2006-1-page-131?lang=en |
| 999 |
_c166604 _d166604 |
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