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Currency risk premia and uncovered interest parity in the International CAPM
Balvers, Ronald J.; Klein, Alina F. - In: Journal of international money and finance 41 (2014), pp. 214-230
Persistent link: https://www.econbiz.de/10010338693
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Cross-border valuation using the International CAPM and the constant perpetual growth model
O'Brien, Thomas J. - In: Journal of economics & business 119 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013428933
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User cost of foreign monetary assets under dollarization
Yemba, Boniface P. - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478605
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Conditional risk premia in currency markets and other asset classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - In: Journal of financial economics 114 (2014) 2, pp. 107-225
Persistent link: https://www.econbiz.de/10010532263
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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
Persistent link: https://www.econbiz.de/10012819558
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Local, global, and international CAPM : for which countries does model choice matter?
Diro Ejara, Demissew; Krapl, Alain; O'Brien, Thomas J.; … - In: Journal of investment management : JOIM 18 (2020) 2, pp. 73-95
Persistent link: https://www.econbiz.de/10012588978
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Currency Risk Premia and Uncovered Interest Parity in the International CAPM
Balvers, Ronald J. - 2013
currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average … use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the … conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that …
Persistent link: https://www.econbiz.de/10013078881
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Three essays on international asset pricing
Lim, Tae-hoon - 2013
Persistent link: https://www.econbiz.de/10012501877
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Pricing risks across currency denominations
Maurer, Thomas; Tô, Thuy-Duong; Tran, Ngoc-Khanh - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5308-5336
Persistent link: https://www.econbiz.de/10012125966
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On the relative performance of consumption models in foreign and domestic markets
Matos, Paulo; Costa, Carlor E. da - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 154-188
Persistent link: https://www.econbiz.de/10011742314