An international asset pricing model with time-varying hedging risk

Review of Quantitative Finance and Accounting

Volumn 15, Issue 3, 2000, Pages 235-257

  Chang, Jow Ran ^a   Hung, Mao Wei ^a  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

GARCH; Hedging risk; International asset pricing

Indexed keywords

EID: 53949118718     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008371906583     Document Type: Article

References (33)

1. Adler, M. and B. Dumas, "International Portfolio Selection and Corporation Finance: A Synthesis." Journal of Finance 38, 925-984, (1983).
2. Bansal, R.D., A. Hsieh, and S. Viswanathan, "A New Approach to International Arbitrage Pricing." Journal of Finance 48, 1719-1747, (1993).
3. Bera, Anil K. and C.M. Jarque, "Model Specification Tests: A Simultaneous Approach." Journal of Econometrics 20, 59-82, (1982).
4. Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31, 307-327, (1986).
5. Bollerslev, T., R.Y. Chou, and K.F. Kroner, "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics 52, 5-59, (1992).
6. Bollerslev, T. and J.M. Wooldridge, "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances." Econometrics Reviews 11, 143-172, (1988).
7. Cho, C.D., C.S. Eun, and L.W. Senbet, "International Arbitrage Pricing Theory: An Empirical Investigation." Journal of Finance 41, 313-330, (1986).
8. Campbell, J.Y., "A Variance Decomposition for Stock Returns." Economic Journal 101, 157-179, (1991).
9. Campbell, J.Y., "Intertemporal Asset Pricing without Consumption data." American Economic Review 83,487-512, (1993).
10. Campbell, J.Y., "Understanding Risk and Return." Journal of Political Economy 104, 298-345, (1996).
11. De Santis G. and B. Gerard, "International Asset Pricing and Portfolio Diversification with Time-Varying Risk." Journal of Finance 52, 1881-1912, (1997).
12. Ding, Z. and R.F. Engle, "Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing." Working Paper, University of California at San Diego, 1994.
13. Dumas, B. and B. Solnik, "The World Price of Foreign Exchange Risk." Journal of Finance 50, 445-479, (1995).
14. Engle, R.F. "Autoregressional Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation." Econometrica 50, 987-1008, (1982).
15. Epstein, L.G., and S.E. Zin, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework." Econometrica 57, 937-969, (1989).
16. Epstein, L.G., and S.E. Zin, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." Journal of Political Economy 99, 263-286, (1991).
17. Fama, E.F., and G.W. Schwert, "Asset Returns and Inflation." Journal of Financial Economic 5, 115-1461, (1977).
18. Ferson, W. "Changes in Expected Security Returns, Risk, and the Level of Interest Rates." Journal of Finance 44, 1191-1217, (1989).
19. Ferson, W. and C.R. Harvey, "Variation of Economic Risk Premiums." Journal of Political Economy 99, 385-415, (1991).
20. Ferson, W. and C.R. Harvey, "The Risk and Predictability of International Equity Returns." Review of Financial Studies 6, 527-567, (1993).
21. Giovannini, A. and P. Weil, "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model." NBER, 2824, 1989.
22. Harvey, C.R. "The World Price of Covariance Risk." Journal of Finance 46, 111-157, (1991).
23. Hodrick, R.J., D. Ng, and P. Sengmueller, An International Dynamic Asset Pricing Model. Working paper, Columbia University.
24. Korajczyk, R. and C. Viallet, "An Empirical Investigation of International Asset Pricing." Review of Financial Studies 2, 553-585, (1989).
25. Kreps, D. and E. Porteus, "Temporal Resolution of Uncertainty and Dynamic Choice Theory." Econometrica 46, 185-200, (1978).
26. Lintner, J., "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics 47, 13-37, (1978).
27. Merton, R.C., "An Intertemporal Capital Asset Pricing Model." Econometrica 41, 867-887, (1973).
28. Ross, S.A., "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory 13, 341-360, (1976).
29. Solnik, R.E., "An Equilibrium Model of the International Capital Market." Journal of Economic Theory 8, 500-524, (1974).
30. Sharpe, W., "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." Journal of Finance 19, 425-442, (1964).
31. Stulz, R.M., "A Model of International Asset Pricing." Journal of Financial Economics 9, 383-406, (1981).
32. Stulz, R.M., "Pricing Capital Assets in an International Setting: A Introduction" Journal of International Business Studies Winter, 55-73, (1984).
33. Weil, P., "The Equity Premium Puzzle and the Risk Free Rate Puzzle." Journal of Monetary Economic 24,401-421, (1989).