International asset pricing with time-varying risk premia

1981 ◽  
Vol 11 (4) ◽  
pp. 573-587 ◽  
Author(s):  
Robert J. Hodrick
Keyword(s):  
Asset Pricing ◽  
Risk Premia ◽  
International Asset Pricing ◽  
Time Varying

International Asset Pricing and Time-Varying Risk Premia

2007 ◽  
Author(s):  
Devraj Basu ◽  
Chi-Hsiou Hung ◽  
Alexander Stremme
Keyword(s):  
Asset Pricing ◽  
Risk Premia ◽  
International Asset Pricing ◽  
Time Varying

Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying

1993 ◽  
Vol 3 (2) ◽  
pp. 85-99 ◽  
Author(s):  
Marc Chesney ◽  
Robert J. Elliott ◽  
Dilip Madan ◽  
Hailiang Yang
Keyword(s):  
Diffusion Coefficient ◽  
Asset Pricing ◽  
Risk Premia ◽  
Time Varying ◽  
Coefficient Estimation

Asset pricing, time-varying risk premia and interest rate risk

1997 ◽  
Vol 21 (3) ◽  
pp. 315-335 ◽  
Author(s):  
Mark J. Flannery ◽  
Allaudeen S. Hameed ◽  
Richard H. Harjes
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premia ◽  
Interest Rate Risk ◽  
Time Varying ◽  
Rate Risk

scholarly journals A Test For A Multi-Risk Premia International Asset Pricing Model: An Arbitrage Pricing Theory Application

2011 ◽  
Vol 4 (2) ◽  
pp. 53 ◽  
Author(s):  
Carl McGowan ◽  
Deane Rifon
Keyword(s):  
Exchange Rate ◽  
Asset Pricing ◽  
Foreign Exchange ◽  
Risk Premia ◽  
Foreign Exchange Rate ◽  
International Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Pricing Theory

IN this paper, the authors examine the existence of a multi-risk premia international asset pricing model using an Arbitrage Pricing Theory approach. An international asset pricing model is developed and tested using foreign exchange rate adjusted market indices for twenty-five countries stock markets for the period January 1964 to December 1980. The authors find evidence that indicates three risk premia exist for pricing mean returns on international assets. A model not adjusted for foreign exchange rate changes does not perform as well as an adjusted model.

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