Single Beta Models and Currency Futures Prices

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rate is used as an intrumental variable for the expected excess return from the common stock portfolio

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Year of publication:	2012
Authors:	McCurdy, Thomas H.
Other Persons:	Morgan, Ieuan G. (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	CAPM \| Währungsderivat \| Currency derivative \| Risikoprämie \| Risk premium \| Theorie \| Theory

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economic Record, Vol. 68, p. 117, 1992 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 1990 erstellt
Classification:	F31 - Foreign Exchange ; G12 - Asset Pricing ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013113912