A NEW APPROACH TO INTERNATIONAL ARBITRAGE PRICING

• 成果类型: Article
• 署名作者: BANSAL, R; HSIEH, DA; VISWANATHAN, S
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329065
• 发表日期: 1993
• 页码: 1719-1747
• 关键词: EXCHANGE RISK; asset; models; MARKETS; equity; rates; moments; prices; WORLD; APT

摘要

This paper uses a nonlinear arbitrage-pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage-pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage-pricing model does an adequate job of explaining the time series behavior of a cross section of international returns.