https://scholars.lib.ntu.edu.tw/handle/123456789/103588
標題: | An International Asset Pricing Model with Time-Varying Hedging Risk | 作者: | Chang, Jow-Ran MAO-WEI HUNG |
關鍵字: | GARCH; Hedging risk; International asset pricing | 公開日期: | 2000 | 卷: | 15 | 期: | 3 | 起(迄)頁: | 235-257 | 來源出版物: | Review of Quantitative Finance and Accountin | 摘要: | This paper employs a two-factor international equilibrium asset pricing model to examine the pricing relationships among the world's five largest equity markets. In addition to the traditional market factor premium, a hedging factor premium is included as the second factor to explain the relationship between risks and returns in the international stock markets. Moreover, a GARCH parameterization is adopted to characterize the general dynamics of the conditional second moments. The results suggest that the additional hedging risk premium is needed to explain rates of return on international equities. Furthermore, the restriction that the coefficient on the hedge-portfolio covariance is one smaller than the coefficient on the market-portfolio covariance can not be rejected. This suggests that the intertemporal asset pricing model proposed by Campbell (1993) can be used to explain the returns on the five largest stock market indices. © 2000 Kluwer Academic Publishers. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/84750 | ISSN: | 0924865X | DOI: | 10.1023/A:1008371906583 |
顯示於: | 國際企業學系 |
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