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- Title
Single Beta Models and Currency Futures Prices.
- Authors
McCURDY, THOMAS H.; MORGAN, IEUAN G.
- Abstract
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.
- Subjects
UNITED States; CAPITAL assets pricing model; FOREIGN exchange futures; FOREIGN exchange; INTEREST rates
- Publication
Economic Record, 1992, Vol 68, p117
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.1992.tb02299.x