La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?
Portfolio Management
2009-05-26 v1
Abstract
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.
Keywords
Cite
@article{arxiv.0905.3891,
title = {La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?},
author = {Mohamed El Hedi Arouri},
journal= {arXiv preprint arXiv:0905.3891},
year = {2009}
}