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Zero-investment uncovered interest parity (UIP) portfolio positions provide perfect factor-mimicking portfolios for currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average provide low returns, the currency risk premia must...
Persistent link: https://www.econbiz.de/10010743962
Standard asset pricing models have difficulty explaining cross-sectional differences in observed equity risk premia of developed and emerging markets. We argue that national equity returns are subject to sample selectivity and peso biases. The lack of credible commitment to keep capital markets...
Persistent link: https://www.econbiz.de/10005067438
The paper investigates whether US, Japanese and European stock and government bond return indices are jointly priced within a conditional multivariate form of the international Capital asset Pricing Model during the period 1993-2001. It also explores the time variation of the price of market...
Persistent link: https://www.econbiz.de/10005771791
This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster than the benchmark to shocks in stock...
Persistent link: https://www.econbiz.de/10005771840
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...
Persistent link: https://www.econbiz.de/10008479301
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...
Persistent link: https://www.econbiz.de/10009363801
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...
Persistent link: https://www.econbiz.de/10011882295
Die zunehmende Globalisierung der weltweiten Realwirtschaften hat zu einem Anstieg derKorrelationen zwischen den Aktienmärkten der unterschiedlichen Länder geführt. Damit einhergehendwird für internationale Aktieninvestoren eine Länderdiversifikation ihrer Aktienportefeuillesimmer weniger...
Persistent link: https://www.econbiz.de/10005866060
This paper studies the impact of EMU on portfolio diversification opportunities.
Persistent link: https://www.econbiz.de/10005843250
This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.
Persistent link: https://www.econbiz.de/10005843251