The World Price of Foreign Exchange Risk

Détails

ID Serval
serval:BIB_C85596B37328
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The World Price of Foreign Exchange Risk
Périodique
Journal of Finance
Auteur(s)
Dumas, B., Solnik, B. 
Statut éditorial
Publié
Date de publication
1995
Volume
50
Numéro
2
Pages
445-479
Résumé
Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia. Copyright 1995 by American Finance Association.
Création de la notice
19/11/2007 11:48
Dernière modification de la notice
03/03/2018 21:21
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