Roll, Richard and Solnik, Bruno (1977) A pure foreign exchange asset pricing model. Journal of International Economics, 7 (2). pp. 161-179. ISSN 0022-1996. doi:10.1016/0022-1996(77)90029-0. https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870
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Abstract
If consumption tastes differ among countries, a position in foreign-denominated nominally riskless bonds is risky in real terms. Risk averse and rational consumer-investors facing such a situation would generally seek a diversified portfolio of foreign bonds. They would demand risk premia in accordance with portfolio (covariance) risk. A model is specified to portray this behavior and it is tested with data from eight countries. The results indicate that the actual premia earned in foreign risky positions are positively related on average to portfolio risk measures; but the premia deviate significantly from those predicted by the model.
| Item Type: | Article | ||||||
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| Additional Information: | © 1977 Published by Elsevier B.V. Received April 1976, revised version received December 1976. | ||||||
| Issue or Number: | 2 | ||||||
| DOI: | 10.1016/0022-1996(77)90029-0 | ||||||
| Record Number: | CaltechAUTHORS:20190430-085208870 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870 | ||||||
| Official Citation: | Richard Roll, Bruno Solnik, A pure foreign exchange asset pricing model, Journal of International Economics, Volume 7, Issue 2, 1977, Pages 161-179, ISSN 0022-1996, https://doi.org/10.1016/0022-1996(77)90029-0. (http://www.sciencedirect.com/science/article/pii/0022199677900290) | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 95113 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Tony Diaz | ||||||
| Deposited On: | 30 Apr 2019 19:55 | ||||||
| Last Modified: | 16 Nov 2021 17:10 |
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