La prime de risque dans un cadre international : le risque de change est-il apprécié ?

Mohamed El Hedi Arouri (1, 2)

1 EconomiX - EconomiX
2 LEO - Laboratoire d'économie d'Orleans [2008-2011]

In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.

Domaines: Gestion de portefeuilles [q-fin.PM]

Mohamed El Hedi Arouri. La prime de risque dans un cadre international : le risque de change est-il apprécié ?. 2009. ⟨hal-00387124⟩