haku: @journal_id 780 / yhteensä: 133
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| Tekijä: | Clyman, D. |
| Otsikko: | International arbitrage pricing theory: relating risk premia |
| Lehti: | International Review of Financial Analysis
1997 : VOL. 6:1, p. 13-20 |
| Asiasana: | FINANCIAL ANALYSIS PRICING RISK |
| Kieli: | eng |
| Tiivistelmä: | It i elementary that in a world of certain exchange rates the factor risk premia of different economies must be identical. Using standard arbitrage arguments, this paper demonstrates that when exchange rates become uncertain, the factor risk premia not only must be different, but more importantly, risk premia (of different economies) associated with the same underlying factor must differ by a particular amount. There are three immediate implications of this result. |
SCIMA