Arbeitspapier
Single Beta Models and currency Futures Prices
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.
- Language
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Englisch
- Bibliographic citation
-
Series: Queen's Economics Department Working Paper ; No. 845
- Classification
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Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
McCurdy, Thomas H.
Morgan, Ieuan G.
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
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1991
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- McCurdy, Thomas H.
- Morgan, Ieuan G.
- Queen's University, Department of Economics
Time of origin
- 1991
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Features of futures price dynamics
Price discovery in currency markets
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