This paper tests conditional capital asset pricing models in a multivariate GARCH framework employing both constant and time-varying prices of market and bond risk. Depending on the interpretation of the market portfolio, the ICAPM with one hedge portfolio or the two-factor myopic CAPM are...

Recent globalization of markets has led to corporate activities that span numerous national boundaries within a single multinational corporation. We address the particular problem of cash flow management in a multinational setting. Uncertainty regarding changes in exchange rates, differences...