Jump to ContentJump to Main Navigation
International FinanceA Survey$
Users without a subscription are not able to see the full content.

H. Kent Baker and Leigh A. Riddick

Print publication date: 2012

Print ISBN-13: 9780199754656

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199754656.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 14 December 2018

Asset Pricing in an International Setting

Asset Pricing in an International Setting

Chapter:
(p.295) 14 Asset Pricing in an International Setting
Source:
International Finance
Author(s):

LEIGH A. RIDDICK

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199754656.003.0014

Several factors complicate the tasks of valuing assets in a portfolio and measuring their risk-adjusted performance in an international setting. Chief among these are currency and inflation effects that arise when investment returns must be translated into a currency other than that in which the return is paid. These complications affect both return and risk and, thus, value. This chapter provides a review of international asset pricing models and their risk-return structure, beginning with the basic international mean-variance model. The discussion then turns to the many mean-variance model extensions, including consumption-based models, models with higher-order statistical moments, and models using conditioning information. The chapter then reviews models based on arbitrage pricing principles or other multifactor approaches that differ from the mean-variance framework. The chapter concludes that more than one model type can be effective in an international setting, but that simplifications that detract from capturing international sources of risk should be avoided.

Keywords:   asset pricing, international asset pricing, international mean variance asset international pricing models, factor pricing models

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .