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The forward exchange rate and macroeconomics
16 references·3 citing·38 second hop
The forward exchange rate and macroeconomics (1982)The forward exchange rate and macroeconom…Money, Bonds, and Foreign Exchange (2016)Money, Bonds, and Foreign Exc…Tests of rational expectations and no risk premium in forward exchange markets (1984)Tests of rational expectation…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…A model of international asset pricing (1981)A model of international asse…Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination (1980)Exchange Rate Risk and the Ma…The diversifiability of exchange risk (1979)The diversifiability of excha…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Sharing rules and equilibrium in an international capital market under uncertainty (1976)Sharing rules and equilibrium…The Demand for Index Bonds (1975)The Demand for Index BondsInternational capital market equilibrium with investment barriers (1974)International capital market …An equilibrium model of the international capital market (1974)An equilibrium model of the i…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Risk, Interest Rates and the Forward Exchange (1972)Risk, Interest Rates and the …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Empirical Assessment of Foreign Currency Risk Premiums (1989)Empirical Assessment of Forei…Tests of the foreign exchange risk premium using the expected second moments implied by option pricing (1988)Tests of the foreign exchange…A DYMIMIC MODEL OF FORWARD FOREIGN EXCHANGE RISK, WITH ESTIMATES FOR THREE MAJOR EXCHANGE RATES (1988)A DYMIMIC MODEL OF FORWARD FO…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)International Diversification of Investment Portfolios (1970)Capital Market Equilibrium with Restricted Borrowing (1972)The capital asset pricing model: Some empirical tests (1972)Integration vs. Segmentation in the Canadian Stock Market (1986)An Equilibrium Model with Restricted Stock Market Participation (1998)Are Financial Assets Priced Locally or Globally? (2002)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Chapter 15 The specification and influence of asset markets (1985)Some tests of international equity integration (1988)Modern Investment Management: An Equilibrium Approach (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1981A model of international asset pricing807 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • 1974International capital market equilibrium with investment barriers551 cited
  • 1976Sharing rules and equilibrium in an international capital market under uncertainty384 cited
  • 1975The Demand for Index Bonds298 cited
  • 1972Risk, Interest Rates and the Forward Exchange176 cited
  • 1984Tests of rational expectations and no risk premium in forward exchange markets151 cited
  • 2016Money, Bonds, and Foreign Exchange123 cited
  • 1979The diversifiability of exchange risk121 cited

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1980
Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination
116 cited

Cited by

  • 1988Tests of the foreign exchange risk premium using the expected second moments implied by option pricing38 cited
  • 1988A DYMIMIC MODEL OF FORWARD FOREIGN EXCHANGE RISK, WITH ESTIMATES FOR THREE MAJOR EXCHANGE RATES28 cited
  • 1989Empirical Assessment of Foreign Currency Risk Premiums27 cited