haku: @author Ikeda, S. / yhteensä: 3
viite: 3 / 3
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Tekijä: | Ikeda, S. |
Otsikko: | Arbitrage asset pricing under exchange |
Lehti: | Journal of Finance
1991 : MAR, VOL. 46:1, p. 447-455 |
Asiasana: | ARBITRAGE PRICING THEORY FINANCIAL RISK FOREIGN EXCHANGE |
Kieli: | eng |
Tiivistelmä: | The APT is extended to an international setting. Specifying a linear factor return-generating model in local currency terms, it is shown that the ususal risk-diversification rule in the APT does not yield a riskless portfolio unless currency fluctuations obey the same factor model as asset returns. An arbitrage portfolio is considered whose exchange risk is hedged by foreign riskless bonds. Under the resulting no-arbitrage conditions, the expected returns are not on the same hyperplane, unlike the closed-economy APT, unless they are adjusted by the cost of exchange risk hedging. |
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