Download or read book International Asset Pricing Models and Currency Risk written by Jan Antell and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate whether global, local and currency risks are priced in the Finnish stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH framework of De Santis and Geacute;rard (1998). For a sample period from 1970 to 2004, we find the world risk to be time-varying. While local risk is not priced for the USA, the local component is significant and time-varying for Finland. Currency risk is priced in the Finnish market, but is not time-varying using the De Santis and Geacute;rard specification. This suggests that the linear specification for the currency risk may not be adequate for non-free floating currencies.

Download or read book An Evaluation of International Asset Pricing Models written by Magnus Dahlquist and published by . This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The World Price of Foreign Exchange Risk written by Bernard Dumas and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This paper investigates whether exchange rate risks are priced in international asset markets using a conditional approach which allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world s four largest equity markets support the existence of foreign exchange risk premia.

Download or read book Foreign Exchange Rate and Its Place in Capital Asset Pricing Model written by Masoumeh Naderi and published by . This book was released on 2013 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: With respect to currency market and these problems are closer to it such as foreign currency translation and effect on prices of capital assets, to estimate actually required return of capital assets, we should consider these variable to our models. Therefore the concept of the capital asset pricing model (CAPM) is extended to international investments. This subject is emphasized by management on the one hand and investors on the other hand. When looking at investments in an international setting, incorporate foreign exchange risks are introduced. Some of the international capital asset pricing models are limited to one factor and others are multifactor models with attention to foreign currency that impact of the portfolio. Globalization and expansion of investment activities in different markets led to introduce and developed an international capital asset pricing model. This model evaluates the performance of various components of the investment portfolio that they composed of a variety of unlike the currency basis. Furthermore, the model in various financial markets, aggregate and transforms their results based on a uniform currency basis in the interpretation of results, and it's generalized to other sectors. Finally, it can provide comprehensive perspectives for investors.

Download or read book Strategic Asset Allocation and International Capm written by Philipp Kowollik and published by GRIN Verlag. This book was released on 2012-03 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 28 entries in the bibliography, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio's performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.

Download or read book Tests of Alternative International Asset Pricing Models written by Maria Vassalou and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies have concluded that equity returns do not carry unconditional risk premia for exchange rate and inflation risks. We decompose changes in exchange rates into a component common across different exchange rates, and an idiosyncratic component. This approach allows the estimation of unconditional exchange rate premia on a large number of exchange rates. We also estimate both domestic and foreign inflation risk premia. Our analysis, carried out in the context of three alternative international asset pricing models and using stock returns from ten industrial countries, strongly rejects the hypotheses that equities carry a zero common or idiosyncratic exchange rate risk premium, or a zero domestic or foreign inflation risk premium. We find that an asset pricing model that accounts for the pricing of exchange rate and inflation risk, can explain cross country differences in asset returns reasonably well.

Download or read book Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-04-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.

Download or read book Globalization Gating and Risk Finance written by Unurjargal Nyambuu and published by John Wiley & Sons. This book was released on 2018-01-16 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth guide to global and risk finance based on financial models and data-based issues that confront global financial managers. Globalization, Gating, and Risk Finance offers perspectives on global risk finance in a world with economies in transition. Developed from lectures and research projects investigating the consequences of globalization and strategic approaches to fundamental economics and finance, it provides an approach based on financial models and data; it includes many case-study problems. The book departs from the traditional macroeconomic and financial approaches to global and strategic risk finance, where economic power and geopolitical issues are intermingled to create complex and forward-looking financial systems. Chapter coverage includes: Globalization: Economies in Collision; Data, Measurements, and Global Finance; Global Finance: Utility, Financial Consumption, and Asset Pricing; Macroeconomics, Foreign Exchange, and Global Finance; Foreign Exchange Models and Prices; Asia: Financial Environment and Risks; Financial Currency Pricing, Swaps, Derivatives, and Complete Markets; Credit Risk and International Debt; Globalization and Trade: A Changing World; and Compliance and Financial Regulation. Provides a framework for global financial and inclusive models, some of which are not commonly covered in other books. Considers risk management, utility, and utility-based multi-agent financial theories. Presents a theoretical framework to assist with a variety of problems ranging from derivatives and FX pricing to bond default to trade and strategic regulation. Provides detailed explanations and mathematical proofs to aid the readers’ understanding. Globalization, Gating, and Risk Finance is appropriate as a text for graduate students of global finance, general finance, financial engineering, and international economics, and for practitioners.

Download or read book Currency Risk in Emerging Equity Markets written by Kate Phylaktis and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre and post liberalisation periods, but the model is superior to one which does not include currency risk. This evidence suggests that an international capital asset pricing model, which omits currency risk, will be misspecified. Furthermore, the results imply that since currency risk is priced and investors are compensated for bearing such risk they should not be discouraged by more flexible exchange rate regimes from investing in emerging markets.

Download or read book International Portfolio Choice and Asset Pricing written by René M. Stulz and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

Download or read book Asset Management and International Capital Markets written by Wolfgang Bessler and published by Routledge. This book was released on 2013-08-21 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.

Download or read book European Capital Markets Towards a General Theory of International Investment written by Bruno H. Solnik and published by . This book was released on 1973 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Global Diversification and Asset Pricing written by Kennedy K. Mbekeani and published by . This book was released on 1997 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Prices Booms and Recessions written by Willi Semmler and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial market melt-down of the years 2007-2009 has posed great challenges for studies on financial economics. This financial economics text focuses on the dynamic interaction of financial markets and economic activity. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market; economic activity includes the actions and interactions of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market, and how asset prices and financial market volatility and crises impact economic activity. The book offers extensive coverage of new and advanced topics in financial economics such as the term structure of interest rates, credit derivatives and credit risk, domestic and international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio decisions. Moreover a completely new section of the book is dedicated to the recent financial market meltdown of the years 2007-2009. Emphasis is placed on empirical evidence relating to episodes of financial instability and financial crises in the U.S. and in Latin American, Asian and Euro-area countries. Overall, the book explains what researchers and practitioners in the financial sector need to know about the financial-real interaction, and what practitioners and policy makers need to know about the financial market.

Download or read book The Price of Inflation and Foreign Exchange Risk in International Equity Markets written by Cesare Robotti and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts written by Tom Arild Fearnley and published by . This book was released on 2004 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001. Time variation in the prices of market and currency risk is modelled by means of synchronous regime switching. The paper also explores the statistical significance and time variation of asset specific intercept terms, again using synchronous regime switching. The prices of risk are found to be highly time varying. The price of market risk is statistically significant, and the international CAPM risk premia are validated, although currency risk premia are not statistically significant. However, the intercept terms are typically large and significant, implying an overall rejection of the international CAPM, and suggesting that additional, unidentified pricing factors contribute to return expectations.

Download or read book Currency Risk in Emerging Equity Markets written by Fabiola Ravazzolo and published by . This book was released on 2002 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre and post liberalisation periods, but the model is superior to one which does not include currency risk. This evidence suggests that an international capital asset pricing model which omits currency risk will be misspecified. Furthermore, the results imply that since currency risk is priced and investors are compensated for bearing such risk they should not be discouraged by more flexible exchange rates from investing in emerging markets.