La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?

TL;DR

This paper examines whether exchange rate risk is priced in international markets, finding strong support for models including this risk, with variations across time and countries.

Contribution

It provides empirical evidence that exchange rate risk is a significant factor in international asset pricing, using advanced GARCH-in-Mean models across multiple markets.

Findings

Exchange rate risk is priced in both developed and emerging markets.

Significant time and cross-country variations in risk premia.

Support for international CAPM models including exchange rate risk.

Abstract

In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.