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| Tekijä: | Eisenberg, A. Rudolf, M. |
| Otsikko: | Exchange rates and the conversion of currency-specific risk premia |
| Lehti: | European Financial Management
2007 : SEP, VOL. 13:4, p. 672-701 |
| Asiasana: | arbitrage pricing theory asset valuation currency exchange rates risk premium |
| Kieli: | eng |
| Tiivistelmä: | How do the risk factors that drive asset prices influence exchange rates? Are the parameters of asset prices processes relevant for specifying exchange rate processes? Most international asset pricing models focus on the analysis of asset returns given exchange rate processes. This article uses an international stochastic discount factor (SDF) framework to analyse the interplay between asset prices and exchange rates. It is found that exchange rates serve to convert currency-specific discount factors and currency-specific prices of risk - a result linked to the international arbitrage pricing theory (IAPT). |
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