Premium
A currency index global capital asset pricing model
Author(s) -
O’Brien Thomas J.,
Dolde Walter
Publication year - 2000
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/1468-036x.00108
Subject(s) - currency , capital asset pricing model , economics , portfolio , index (typography) , consumption based capital asset pricing model , financial economics , interest rate , monetary economics , asset (computer security) , arbitrage pricing theory , econometrics , computer science , computer security , world wide web
The application of an international capital asset pricing relationship with two factors, the global market portfolio and a currency index, is described and illustrated. 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.