My bibliography
Save this item
A model of international asset pricing
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hodrick, Robert J. & Srivastava, Sanjay, 1984.
"An investigation of risk and return in forward foreign exchange,"
Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April.
- Robert J. Hodrick & Sanjay Srivastava, 1983. "An Investigation of Risk and Return in Forward Foreign Exchange," NBER Working Papers 1180, National Bureau of Economic Research, Inc.
- Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
- Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
- Svensson, L.E.O., 1993.
"Term, Inflation and Foreign Exchange Risk Premia: A Unified Treatment,"
Papers
548, Stockholm - International Economic Studies.
- Lars E.O. Svensson, 1993. "Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment," NBER Working Papers 4544, National Bureau of Economic Research, Inc.
- Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003.
"Monetary unification and the price of risk: An unconditional analysis,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(2), pages 276-305, June.
- Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001. "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series ces0201, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001. "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series wpie006, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992.
"Global financial markets and the risk premium on U.S. equity,"
Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
- K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc.
- Ghysels, E., 1995.
"On Stable Factor Structurs in the Pricing of Risk,"
Cahiers de recherche
9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
- Hui Guo & Christopher J. Neely & Jason Higbee, 2008.
"Foreign Exchange Volatility Is Priced in Equities,"
Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
- Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
- Thomas Chiang & Jose Trinidad, 1997. "Risk and International Parity Conditions: A Synthesis from Consumption Based Models," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 73-101.
- Carol L. Osler, 1987. "Portfolio Diversification, Real Interest Rates, and the Balance of Payments," NBER Working Papers 2441, National Bureau of Economic Research, Inc.
- Claessens, Stijn, 1993. "Equity portfolio investment in developing countries : a literature survey," Policy Research Working Paper Series 1089, The World Bank.
- Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002.
"What Determines Expected International Asset Returns?,"
Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
- Bruno Solnik & Campbell R. Harvey & Guofu Zhou, 1994. "What determines expected international asset returns ?," Working Papers hal-00607608, HAL.
- Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," CEMA Working Papers 503, China Economics and Management Academy, Central University of Finance and Economics.
- Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 1994. "What Determines Expected International Asset Returns?," NBER Working Papers 4660, National Bureau of Economic Research, Inc.
- Bruno Solnik & Campbell R. Harvey & Guofu Zhou, 1994. "What determines expected international asset returns ?," Working Papers hal-00607609, HAL.
- Bernard Dumas, 1993.
"Partial- vs general-equilibrium models of the international capital market,"
Working Papers
hal-00610766, HAL.
- Dumas, B., 1994. "Partial - vs General - Equilibrium Models of the International Capital Market," DELTA Working Papers 94-04, DELTA (Ecole normale supérieure).
- Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
- Koedijk, Kees G. & Kool, Clemens J. M. & Schotman, Peter C. & van Dijk, Mathijs A., 2002.
"The cost of capital in international financial markets: local or global?,"
Journal of International Money and Finance, Elsevier, vol. 21(6), pages 905-929, November.
- , & Koedijk, Kees & Schotman, Peter C & Van Dijk, Mathijs, 2001. "The Cost of Capital in International Financial Markets: Local or Global," CEPR Discussion Papers 3062, C.E.P.R. Discussion Papers.
- Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
- Thomas Chiang & Thomas Hindelang, 1988. "Forward rate, spot rate and risk premium: An empirical analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 124(1), pages 74-88, March.
- Frankel, Jeffrey & Engel, Charles M., 1984.
"Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test,"
Journal of International Economics, Elsevier, vol. 17(3-4), pages 309-323, November.
- Jeffrey A. Frankel & Charles Engel, 1982. "Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test," NBER Working Papers 1051, National Bureau of Economic Research, Inc.
- John Y. Campbell & Karine Serfaty‐De Medeiros & Luis M. Viceira, 2010.
"Global Currency Hedging,"
Journal of Finance, American Finance Association, vol. 65(1), pages 87-121, February.
- John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc.
- Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
- Fernandez Viviana P, 2005.
"The International CAPM and a Wavelet-Based Decomposition of Value at Risk,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-37, December.
- Viviana Fernandez, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," The Institute for International Integration Studies Discussion Paper Series iiisdp075, IIIS.
- Viviana Fernández, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo 203, Centro de Economía Aplicada, Universidad de Chile.
- Viviana Fernandez, 2006. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," NBER Working Papers 12233, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Andrey D. Ukhov, 2006.
"British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach,"
Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
- William Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management.
- William N. Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," NBER Working Papers 11266, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Harvey, Campbell R, 1995.
"Time-Varying World Market Integration,"
Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
- Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
- Svensson, Lars E O, 1988.
"Trade in Risky Assets,"
American Economic Review, American Economic Association, vol. 78(3), pages 375-394, June.
- Lars E.O. Svensson, 1987. "Trade in Risky Assets," NBER Working Papers 2403, National Bureau of Economic Research, Inc.
- Fabio Canova & Takatoshi Ito, 1988. "On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market," NBER Working Papers 2678, National Bureau of Economic Research, Inc.
- Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
- Leslie Young & James A. Bennett, 1999. "International Stock Market Equilibrium with Heterogenous Tastes," American Economic Review, American Economic Association, vol. 89(3), pages 639-648, June.
- Eric van Wincoop & Francis E. Warnock, 2006. "Is Home Bias in Assets Related to Home Bias in Goods?," NBER Working Papers 12728, National Bureau of Economic Research, Inc.
- Kim Nummelin & Mika Vaihekoski, 2002. "World capital markets and Finnish stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 322-343.
- Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," FRB Atlanta Working Paper 2000-6, Federal Reserve Bank of Atlanta.
- Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
- Rui Alpalhao & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don't know," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 489-498.
- Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
- Robert E. Cumby, 1987. "Consumption Risk and International Asset Returns: Some Empirical Evidence," NBER Working Papers 2383, National Bureau of Economic Research, Inc.