An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence
扩展了Campbell模型，提出跨期国际资产定价模型，发现预期国际资产收益由市场风险、市场对冲风险、汇率风险和汇率对冲风险的加权平均决定，且汇率风险对国际股票收益定价比跨期对冲风险更重要。
Abstract We extend Campbell's (1993) model to develop an intertemporal international asset pricing model (IAPM). 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. Our model explicitly separates hedging against changes in the investment opportunity set from hedging against exchange rate changes as well as exchange rate risk from intertemporal hedging risk. A test of the conditional version of our intertemporal IAPM using a multivariate GARCH process supports the asset pricing model. We find that the exchange rate risk is important for pricing international equity returns and it is much more important than intertemporal hedging risk .