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Publication year
A New Approach to International Arbitrage Pricing.
Resource type
Authors/contributors
- Bansal, Ravi (Author)
- Hsieh, David A (Author)
- Viswanathan, S (Author)
Title
A New Approach to International Arbitrage Pricing.
Abstract
This paper uses a nonlinear arbitrage-pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage-pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage-pricing model does an adequate job of explaining the time-series behavior of a cross section of international returns.
Publication
The Journal of Finance
Volume
48
Issue
5
Pages
1719-47
Date
1993-12
Citation
Bansal, R., Hsieh, D. A., & Viswanathan, S. (1993). A New Approach to International Arbitrage Pricing. The Journal of Finance, 48, 1719–1747.
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