Normal view MARC view

Equity risk premia and the pricing of foreign exchange risk

Author: Viallet, Claude ; Korajczyk, RobertINSEAD Area: Finance Series: Working Paper ; 90/43/FIN Publisher: Fontainebleau : INSEAD, 1990.Language: EnglishDescription: 22 p.Type of document: INSEAD Working Paper Online Access: Click here Abstract: This paper investigates the relation between the risk premia observed in forward foreign exchange markets and international equity markets. If these markets share common source of risk then the time variation in forward rsk premia should be related to the forward contract's sensitivity to well-diversified equity benchmark porfolios and the time variation in the risk premia of those benchmark portfolios. It is found that the forward contracts have a component of their conditional mean returns that is not reflected in their relation to the equity markets
Tags: No tags from this library for this title. Add tag(s)
Log in to add tags.
Item type Current location Collection Call number Status Date due
INSEAD Working Paper Digital Library
PDF Available

This paper investigates the relation between the risk premia observed in forward foreign exchange markets and international equity markets. If these markets share common source of risk then the time variation in forward rsk premia should be related to the forward contract's sensitivity to well-diversified equity benchmark porfolios and the time variation in the risk premia of those benchmark portfolios. It is found that the forward contracts have a component of their conditional mean returns that is not reflected in their relation to the equity markets

Digitized

There are no comments for this item.

Log in to your account to post a comment.
Koha 3.18 - INSEAD Library Catalogue
Library Home | Contact Us | What's Koha?