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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

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

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

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

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

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