Narrow search
Showing 1 - 10 of 867,356
Cover Image
Foreign exchange risk and the term-structure of industry costs of equity
Krapl, Alain; Giaccotto, Carmelo - In: Journal of International Money and Finance 51 (2015) C, pp. 71-88
This paper makes two contributions to the literature. First, we build on the methodology of Ang and Liu (2004) to model the cost of capital term-structure for firms subject to foreign exchange (FX) risk. We emphasize the role of time-varying parameters such as FX risk and factor loadings....
Persistent link: https://www.econbiz.de/10011190171
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Three essays on international asset pricing
Lim, Tae-hoon - 2013
Persistent link: https://www.econbiz.de/10012501877
Cover Image
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