EQUITY RISK PREMIA AND THE PRICING OF FOREIGN-EXCHANGE RISK
成果类型：
Article
署名作者：
KORAJCZYK, RA; VIALLET, CJ
署名单位：
INSEAD Business School
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(92)90001-Z
发表日期：
1992
页码：
199-219
关键词：
摘要：
We investigate the relation between the risk premia observed in forward foreign exchange markets and international equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in agents' intertemporal marginal rate of substitution, then the time variation in forward risk premia should be explained by the forward contract's sensitivity to the equity portfolios and the time variation in the risk premia of those portfolios. We find that equity and forward risk premia are related, but that forward contracts have a component of their conditional mean returns unexplained by their relation to equity factors.