- 著者
- TOSHIO SERITA
- 出版者
- JAPANESE ECONOMIC ASSOCIATION
- 雑誌
- The Economic Studies Quarterly (ISSN:0557109X)
- 巻号頁・発行日
- vol.42, no.1, pp.27-39, 1991-03-20 (Released:2007-10-19)
- 参考文献数
- 19
This paper analyzes international asset pricing with a one-period, two-country international asset pricing model (IAPM), and reports the results of empirical tests using a new method suggested by Gibbons and Ferson (1985). The world market portfolio, including exchange risk, plays the most important role in pricing risk of foreign exchange and risky assets. Since investors' investment opportunities vary across countries because of exchange risk, the optimal portfolio varies across countries. Unlike most previous work with a one-country CAPM, the empirical tests of this IAPM do not reject the model.