:::

研討會總覽

An Inertemporal International Asset Pricing Model: Theory and Empirical Evidence

2003/07/22
  • 研討會日期 : 2003-07-22
  • 時間 : 15:00
  • 主講人 : 張焯然教授
  • 地點 : B棟110室
  • 演講者簡介 : 張焯然教授為Ph.D. in Finance，National Taiwan University (2001)。 現為清華大學計量財務金融學系助理教授。 其主要研究領域為Asset Pricing、Asset Management、International Finance及Risk Management。
  • 演講摘要 : In this paper, we develop an intertemporal IAPM that prices market hedging risk and exchange rate hedging risk in addition to market risk and exchange rate risk. We extend Campbell’s (1993) model to an international framework in which inflation rate is time-varying. We employ a recursive preference function which separates investors’ attitudes towards risk from their willingness to substitute future consumption for present consumption in pricing international assets. Our model prices exchange rate risk and exchange rate hedging risk in addition to market risk and market hedging risk. While the market hedging risk is the covariance of asset returns with news about the discounted value of all future market returns, the exchange rate hedging risk is the covariance of asset returns with news about the discounted value of all future currency returns. Our main results can be summarized as follows. First, the xpected international asset return can be expressed as a weighted average of consumption risk, inflation risk and market risk. Second, we use a log-linear approximation of the budget constraint to substitute out consumption to obtain an intertemporal international asset pricing model without consumption. We show that the expected international asset return is determined by a weighted average of market risk, market hedging risk, exchange rate risk and exchange rate hedging risk. These weights sum up to one. Third, we estimate and test the conditional version of our intertemporal IAPM using a multivariate GARCH process. The evidence supports our asset pricing model. We find that exchange rate risk is important for pricing international equity returns and it is much more important than intertemporal hedging risk.