An intertemporal international asset pricing model: Theory and evidence

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-04-12 DOI:10.1016/j.intfin.2025.102162

Gady Jacoby , Rose C. Liao , Yan Wang , Zhenyu Wu

引用次数: 0

Abstract

We utilize an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity markets. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to a world equity factor and global currency risk factor. To capture the time-varying nature of risk exposures, we employ the mean-reverting dynamic conditional correlation (DCC) model of Engle (2002) to estimate conditional covariances and betas. Our regression results show that estimated risk-return coefficients on betas and covariances are significant and robust to subsample tests based on emerging markets and developed markets. We also show that the risk-return tradeoff on foreign equity returns and relative risk aversion vary cyclically across financial stress regimes.

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跨期国际资产定价模型：理论与证据

我们利用跨期CAPM （Merton, 1973）框架来研究外国股票市场的货币风险敞口是如何定价的。我们根据世界股票因素和全球货币风险因素确定外国股票回报和外汇负荷的基本决定因素。为了捕捉风险暴露的时变性质，我们采用Engle（2002）的均值回归动态条件相关（DCC）模型来估计条件协方差和贝塔。我们的回归结果表明，在基于新兴市场和发达市场的子样本测试中，估计的贝塔系数和协方差的风险回报系数显著且稳健。我们还表明，在不同的金融压力制度下，外国股票回报和相对风险厌恶的风险回报权衡是周期性变化的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.