The World Price of Foreign Exchange Risk

B. SOLNIK, B. Dumas

The Journal of Finance

juin 1995

Départements : Finance

Investigates whether foreign exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. Asset pricing model (APM); Monthly excess return on equity and currency holdings; Foreign exchange risks premia as significant component of securities rates of return in the international financial market