Asset Pricing and Foreign Exchange Risk
According to the International Capital Asset Pricing Model (ICAPM), the covariance of assets with foreign exchange currency returns should be a risk factor that must be priced when the purchasing power parity is violated. The goal of this study is to re-examine the relationship between stock returns...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
J A I Press Inc.
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/19280 |