The impact of exchange rate risk on international asset pricing under various market structures
This article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmente...
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| Veröffentlicht in: | Review of quantitative finance and accounting 2009-02, Vol.32 (2), p.169-195 |
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| container_title | Review of quantitative finance and accounting |
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| creator | Bayraktar, Sema |
| description | This article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant of
real
equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors. |
| doi_str_mv | 10.1007/s11156-008-0089-4 |
| format | Article |
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real
equity prices. 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| ispartof | Review of quantitative finance and accounting, 2009-02, Vol.32 (2), p.169-195 |
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| source | SpringerNature Journals; EBSCOhost Business Source Complete |
| subjects | Accounting/Auditing Asset pricing Capital markets Consumers Consumption Corporate Finance Econometrics Economics and Finance Equilibrium Exchange rates Finance Foreign exchange rates International finance Investors Market segmentation Market theory Mathematical models Operations Research/Decision Theory Original Research Prices Purchasing power Purchasing power parity Risk Risk assessment Risk premiums Statistical analysis Studies Terms of trade |
| title | The impact of exchange rate risk on international asset pricing under various market structures |
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