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| Author: | Li, Y. Zhong, M. |
| Title: | International asset returns and exchange rates |
| Journal: | European Journal of Finance
2009 : APR-JUN, VOL. 15:3-4, p. 263-285 |
| Index terms: | assets international prices models risk currency markets exchange rates inflation rates consumption stock markets |
| Freeterms: | consumption-based model habit formation idiosyncratic returns US riskfree rate |
| Language: | eng |
| Abstract: | Based on a consumption-based international asset-pricing model to analyzes global equity premiums, the US riskfree rate and the cross section of international asset returns.It is found that the model explains approximately 40-50% of the cross section of currency and equity premiums as well as expected returns from value and growth portfolios of at least a dozen countries. Changes in real exchange rates are responsible for explaining approximately half of the cross section of international asset returns. |
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