Karolyi, G. Andrew (contributor); … - 2001 - [Elektronische Ressource]
asset pricing model, one does not
have to make a priori assumptions about foreign exchange rate dynamics to price assets … cannot hold domestic assets, then
we know that α
i
must be equal to zero for all assets because then the capital asset … pricing model
(CAPM) must hold in the domestic country. However, in a world where domestic investors have
access to foreign …