Journal article
International asset pricing and equity market risk
Journal of international money and finance, v 10(3), pp 349-364
1991
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
Metrics
Details
- Title
- International asset pricing and equity market risk
- Creators
- Thomas C. Chiang - Drexel University
- Publication Details
- Journal of international money and finance, v 10(3), pp 349-364
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:A1991GH95100003
- Scopus ID
- 2-s2.0-0011593764
- Other Identifier
- 991019173716204721
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InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Web of Science research areas
- Business, Finance