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研究生： 林佩慧
Hui, Pei
論文名稱： 探索匯率風險與權益價格溢酬:以已開發國家為主要研究範疇
Exchange Risk and Equity Premium:the Case of the Developed Countries
指導教授： 王澤世
Wang, Tse-Shih
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 51
中文關鍵詞： 匯率風險 、股價溢酬 、國際資產訂價模型
外文關鍵詞： equity premiums, the International Capital Asset Pricing Model, exchange risk
相關次數： 點閱：186  下載：3 
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    • This paper expends Chiang (1991) model and employ Dumas and Solnik(1995) model. We use monthly data to discuss the relationship between exchange risk and equity premium in developed countries from January 1995 to September 2006. We use the instrumental variables method and GMM method to estimate our model.

    The result of our study suggests that no evidence reveals that specific country risk and the United States equity risk are priced in our sample country. But when using Dumas and Solnik(1995) model, we find that S&P 500 and the world index can influence the exchange rates significantly.

    Contents Chapter 1 Introduction………………………………………………………………1 Chapter 2 Literature Review…………………………………………......................5 2.1 The Relationship between Exchange Rate and Equity returns……………………6 2.2 The International Capital Asset Pricing Model……………………......................10 2.3 The Exchange Rate Determining Model…………………………………………13 Chapter 3 Methodologies…………………………………………….......................16 3.1 Chiang (1991) Model…………………………………………………………….17 3.2 The International Asset Pricing Model of Dumas and Solnik (1995)……………21 3.3 Dataset……………………………………………………………………………25 Chapter 4 Empirical Results……………………………………………………….27 Chapter 5 Conclusion………………...……………………………………………..34 Reference…………………………………………………………………………….48 List of Tables Table 1.A Descriptive Statistics for the Monthly Equity returns…………………….36 Table 1.B Descriptive Statistics for the Monthly Changes in the Exchange Rates….37 Table 2.A Correlations Matrix in the First Period……………………………………38 Table 2.B Correlations Matrix in the Second Period…………………………………39 Table 3 Simple Regression between Two Relative Equity Markets………………….40 Table 4 Equity Index Return Regressed on Instrumental Variables………………….41 Table 5 Excess Returns of Exchange Rates Regressed on Domestic Equity Excess...42 Returns, and the US Equity Returns Table 6 Equity return regressed on the world index returns………………………….43 Table 7 Excess Returns of Exchange Rates Regressed on Residuals of Domestic…..45 Excess Equity Returns, the US Equity Returns, and the World Index Returns Table 8 Excess Returns of Exchanges Regressed on Instrumental Variables………..46 Table 9 GMM Estimation of the Conditional International Asset Pricing Model……47

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