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

页码：2571 / 2590

页数：20

共 25 条

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