Karolyi, G. Andrew (contributor); … - 2001 - [Elektronische Ressource]
pricing model
(CAPM) must hold in the domestic country. However, in a world where domestic investors have
access to foreign … derive an asset pricing model where foreign exchange rate risk is priced. Such an
assumption implies that trade takes place … asset pricing model, one does not
have to make a priori assumptions about foreign exchange rate dynamics to price assets …