{"title":"跨期国际资产定价模型:理论与证据","authors":"Gady Jacoby , Rose C. Liao , Yan Wang , Zhenyu Wu","doi":"10.1016/j.intfin.2025.102162","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"102 ","pages":"Article 102162"},"PeriodicalIF":5.4000,"publicationDate":"2025-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"An intertemporal international asset pricing model: Theory and evidence\",\"authors\":\"Gady Jacoby , Rose C. Liao , Yan Wang , Zhenyu Wu\",\"doi\":\"10.1016/j.intfin.2025.102162\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":48119,\"journal\":{\"name\":\"Journal of International Financial Markets Institutions & Money\",\"volume\":\"102 \",\"pages\":\"Article 102162\"},\"PeriodicalIF\":5.4000,\"publicationDate\":\"2025-04-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Financial Markets Institutions & Money\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042443125000526\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443125000526","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
An intertemporal international asset pricing model: Theory and evidence
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.
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.