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| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|---|
|
Digital Library | 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.