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| Author: | Chang, J. (et al.) |
| Title: | An intertemporal international asset pricing model: theory and empirical evidence |
| Journal: | European Financial Management
2005 : MAR, VOL. 11:2, p. 173-194 |
| Index terms: | Finance Asset valuation Pricing Models International |
| Freeterms: | Currency risk |
| Language: | eng |
| Abstract: | This article develops an intertemporal international asset pricing model (IAPM). The authors provide evidence that the expected international asset return is determined by a weighted average of market risk, market hedging risk, exchange rate risk, and exchange rate hedging risk. It is found that the exchange rate risk is important for pricing international equity returns and has more importance than intertemporal hedging risk. |
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