search query: @author De Santis, G. / total: 2
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| Author: | De Santis, G. Gérard, B. |
| Title: | How big is the premium for currency risk? |
| Journal: | Journal of Financial Economics
1998 : SEP, VOL.49:3, p. 375-412 |
| Index terms: | Capital asset pricing Asset valuation Currency markets Exchange rates |
| Language: | eng |
| Abstract: | The authors estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process. Since the approach is fully parametric, they can recover any quantity that is a function of the first two conditional moments. Their findings strongly support a model which includes both market and foreign exchange risk. The evidence also indicates that, with the exception of the U.S. equity market, the premium for bearing currency risk often represents a significant fraction of the total premium. |
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