Abstract
This paper presents a model to examine the behavioral relationship between the excess returns of foreign exchange and the variables that measure the risk factor. The test results of four major currencies support the hypothesis that the excess exchange returns are related to the relative risks of the two national equity markets. The evidence validates the existence of a risk premium in foreign exchange markets. © 1991.
Cite
CITATION STYLE
APA
Chiang, T. C. (1991). International asset pricing and equity market risk. Journal of International Money and Finance, 10(3), 349–364. https://doi.org/10.1016/0261-5606(91)90015-C
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for free