The US Dollar Global CAPM and a Firm's Cost of Capital in Different Currencies

I show how a company can estimate consistent costs of capital across currencies in integrated financial markets. I use two relatively ignored results: (1) If the global CAPM holds for unhedged returns in US dollars, a two-factor risk-return relationship (with FX risk) generally must hold in other currencies; 2) The conversion of a firm's cost of capital across currencies via the risk-free interest rate differential is generally not robust

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Year of publication:	[2017]
Authors:	O'Brien, Thomas J.
Publisher:	[2017]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (31 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2005 erstellt
Other identifiers:	10.2139/ssrn.155049 [DOI]
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012706898