How big is the premium for currency risk?

被引：203

作者：

De Santis, G ^{[1
]}

Gerard, B ^{[1
]}

机构：

[1] Univ So Calif, Marshall Sch Business, Dept Finance & Business Econ, Los Angeles, CA 90089 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1998年 / 49卷 / 03期

关键词：

international asset pricing; currency risk; multivariate GARCH;

D O I：

10.1016/S0304-405X(98)00029-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support a model which includes both market and foreign exchange risk. However, both sources of risk are only detected when their prices are allowed to change over time. The evidence also indicates that, with the exception of the U.S, equity market, the premium for bearing currency risk often represents a significant fraction of the total premium. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：375 / 412

页数：38

共 34 条

[1] INTERNATIONAL PORTFOLIO CHOICE AND CORPORATION FINANCE - A SYNTHESIS [J].

ADLER, M ;

DUMAS, B .

JOURNAL OF FINANCE, 1983, 38 (03) :925-984

[2]

ANDERSON R, 1983, J POLITICAL EC, V89, P1182

[3]

[Anonymous], J FINANC

[4] CHARACTERIZING PREDICTABLE COMPONENTS IN EXCESS RETURNS ON EQUITY AND FOREIGN-EXCHANGE MARKETS [J].

BEKAERT, G ;

HODRICK, RJ .

JOURNAL OF FINANCE, 1992, 47 (02) :467-509

[5] TIME-VARYING WORLD MARKET INTEGRATION [J].

BEKAERT, G ;

HARVEY, CR .

JOURNAL OF FINANCE, 1995, 50 (02) :403-444

[6]

BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653

[7] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].

BOLLERSLEV, T ;

ENGLE, RF ;

WOOLDRIDGE, JM .

JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) :116-131

[8] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].

BOLLERSLEV, T .

JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327

[9]

Bollevslev T., 1992, ECONOMET REV, V11, P143, DOI DOI 10.1080/07474939208800229

[10] STOCK RETURNS AND THE TERM STRUCTURE [J].

CAMPBELL, JY .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (02) :373-399

← 1 2 3 4 →