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The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes
Author(s) -
LEWIS KAREN K.
Publication year - 1990
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1990.tb02433.x
Subject(s) - economics , equity (law) , foreign exchange , bond , monetary economics , econometrics , asset (computer security) , exchange rate , capital asset pricing model , empirical evidence , financial economics , finance , philosophy , computer security , epistemology , political science , computer science , law
Recent empirical studies of the risk premium across foreign exchange and other asset markets such as equity and longer term bonds have found conflicting evidence about the latent variable model restrictions of the consumption‐based intertemporal capital asset pricing model. While studies using data for holding periods of one month or less generally reject the model, evidence using three‐month holding periods indicates that the model cannot be rejected when including the returns on long relative to short deposit rates. This paper investigates the sources of differences in results using returns on foreign exchange and Eurocurrency deposits at three different maturities.