頁籤選單縮合
題名 | Barriers to International Investment, Exchange Rate Risk and World CAPM= |
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作者 | 郭震坤; 郭震坤; Kuo, Cheng-Kun; |
期刊 | 臺大管理論叢 |
出版日期 | 19910500 |
卷期 | 2:1 1991.05[民80.05] |
頁次 | 頁255-268 |
分類號 | 563.2 |
語文 | eng |
關鍵詞 | Hedging; Forward contract; Security market line; International investment; |
英文摘要 | Due to a mis-interpretation of mathematics, a vintage world CAPM that assumes barriers to international investment exist in the form of prohibitive taxes, is found to come up with wrong results. Security market lines for long and short international holdings are shown not to be parallel to that for holding domestic assets, as opposed to the claim by the original study. This result would have far-reaching empirical implications. In addition, based on recent empirical studies, the model is extended to incorporate forward hedging of exchange rate risk. The hedging might be a better approach than simply assuming away the risk. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。