The impact of exchange rate risk on international asset pricing under various market structures

被引：1

作者：

Bayraktar S. ^{[1
]}

机构：

[1] School of Advanced Vocational Studies, Istanbul Bilgi University

来源：

Review of Quantitative Finance and Accounting | 2009年 / 32卷 / 2期

关键词：

Asset pricing; Exchange rate risk; Market integration/segmentation;

D O I：

10.1007/s11156-008-0089-4

中图分类号：

学科分类号：

摘要：

This article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors. © 2008 Springer Science+Business Media, LLC.

引用

页码：169 / 195

页数：26

共 28 条

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