International asset pricing models and currency risk: Evidence from Finland 1970-2004

被引：15
作者：
Antell, Jan
Vaihekoski, Mika
机构：
[1] HANKEN Swedish Sch Econ & Business Adm, Dept Finance & Stat, FIN-00101 Helsinki, Finland
[2] Lappeenranta Univ Technol, Sch Business, Lappeenranta 53851, Finland
来源：
JOURNAL OF BANKING & FINANCE | 2007年 / 31卷 / 09期
关键词：
world asset pricing model; conditional price of risk; segmentation; currency risk; multivariate GARCH-M;
D O I：
10.1016/j.jbankfin.2006.09.013
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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, G., Gerard, B., 1998. How big is the premium for currency risk? Journal of Financial Economics 49, 375-412]. 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 Gerard specification. This suggests that the linear specification for the currency risk may not be adequate for non-free floating currencies. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：2571 / 2590
页数：20
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