Titre
The World Price of Foreign Exchange Risk
Type
article
Institution
Externe
Périodique
Auteur(s)
Dumas, B., Solnik, B.,
Auteure/Auteur
Liens vers les personnes
Statut éditorial
Publié
Date de publication
1995
Volume
50
Numéro
2
Première page
445
Dernière page/numéro d’article
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.
PID Serval
serval:BIB_C85596B37328
Date de création
2007-11-19T09:48:04.355Z
Date de création dans IRIS
2025-05-21T03:58:22Z