A New Approach to International Arbitrage Pricing

Published

Journal Article

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. 1993 The American Finance Association

Full Text

Duke Authors

Cited Authors

  • BANSAL, R; HSIEH, DA; VISWANATHAN, S

Published Date

  • January 1, 1993

Published In

Volume / Issue

  • 48 / 5

Start / End Page

  • 1719 - 1747

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1993.tb05126.x

Citation Source

  • Scopus