A Test For A Multi-Risk Premia International Asset Pricing Model: An Arbitrage Pricing Theory Application
2011 ◽
Vol 4
(2)
◽
pp. 53
◽
Keyword(s):
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.
2021 ◽
Vol 7
(1)
◽
pp. 42-50
Keyword(s):
2018 ◽
Vol 1
(2)
◽
pp. 233-240