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

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

2009-05-24

arxiv.org/abs/0905.3891v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

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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