CaltechAUTHORS
  A Caltech Library Service

A pure foreign exchange asset pricing model

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. https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870

Full text is not posted in this repository. Consult Related URLs below.

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870

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
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/0022-1996(77)90029-0DOIArticle
Additional Information:© 1977 Published by Elsevier B.V. Received April 1976, revised version received December 1976.
Issue or Number:2
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:03 Oct 2019 21:10

Repository Staff Only: item control page