The impact of exchange rate risk on international asset pricing under various market structures
Küçük Resim Yok
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.
Açıklama
Anahtar Kelimeler
Market İntegration/Segmentation, Exchange Rate Risk, Asset Pricing
Kaynak
Review of Quantitative Finance and Accounting
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
32
Sayı
2
