Default Risk Premia and a Non-Linear Asset Pricing Model

2017 ◽  
Author(s):  
John R. Birge ◽  
Yi Zhang
Keyword(s):  
Asset Pricing ◽  
Default Risk ◽  
Risk Premia ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Non Linear

scholarly journals A Test For A Multi-Risk Premia International Asset Pricing Model: An Arbitrage Pricing Theory Application

2011 ◽  
Vol 4 (2) ◽  
pp. 53 ◽  
Author(s):  
Carl McGowan ◽  
Deane Rifon
Keyword(s):  
Exchange Rate ◽  
Asset Pricing ◽  
Foreign Exchange ◽  
Risk Premia ◽  
Foreign Exchange Rate ◽  
International Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Pricing Theory

IN this paper, the authors examine the existence of a multi-risk premia international asset pricing model using an Arbitrage Pricing Theory approach. An international asset pricing model is developed and tested using foreign exchange rate adjusted market indices for twenty-five countries stock markets for the period January 1964 to December 1980. The authors find evidence that indicates three risk premia exist for pricing mean returns on international assets. A model not adjusted for foreign exchange rate changes does not perform as well as an adjusted model.

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