A Currency Index Global Capital Asset Pricing Model

A two-factor Global Capital Asset Pricing Model, where the factors are the global market portfolio and a currency index, is described and illustrated. The model is consistent with the empirical evidence of a priced currency index factor by Ferson and Harvey [1993, 1994]. The model and illustration help demonstrate a problem with the common practice of adjusting an asset's expected rate of return across currencies via nominal riskless interest rate differentials

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Year of publication:	[2020]
Authors:	O'Brien, Thomas J.
Other Persons:	Dolde, Walter (contributor)
Publisher:	[2020]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Notes:	In: European Financial Management, Vol. 6, No. 1, March 2000
Other identifiers:	10.2139/ssrn.137360 [DOI]
Classification:	G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012705944