Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/189169 
Erscheinungsjahr: 
1991
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 845
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio.
Dokumentart: 
Working Paper

Datei(en):
Datei
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