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

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dc.creatorArouri, Mohamed El Hedi
dc.date2009-05-24
dc.date.accessioned2026-07-07T13:17:51Z
dc.date.available2026-07-07T13:17:51Z
dc.descriptionIn 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.
dc.identifierhttps://arxiv.org/abs/0905.3891
dc.identifierhttp://arxiv.org/abs/0905.3891
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/231250
dc.subjectPortfolio Management
dc.titleLa prime de risque dans un cadre international : le risque de change est-il apprécié ?
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