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Single Beta Models and Currency Futures Prices
Author(s) -
McCURDY THOMAS H.,
MORGAN IEUAN G.
Publication year - 1992
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1992.tb02299.x
Subject(s) - economics , futures contract , portfolio , capital asset pricing model , financial economics , currency , foreign exchange risk , beta (programming language) , econometrics , excess return , monetary economics , exchange rate , paleontology , context (archaeology) , computer science , biology , programming language
The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time‐varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio.