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ralph lauren polo

Walid Chkili
''Is currency risk priced for emerging stock markets?''
( 2012, Vol. 32 No.3 )
In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk premium is economically significant and represents a significant portion of the total risk premium during the crisis periods.
Keywords: International asset pricing model, Currency risk, Risk premium, Emerging markets
JEL: F3 - International Finance: General
Manuscript Received : Feb 01 2012 Manuscript Accepted : Aug 14 2012

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