A New Approach to International Arbitrage Pricing
Publication
, Journal Article
BANSAL, R; HSIEH, DA; VISWANATHAN, S
Published in: The Journal of Finance
January 1, 1993
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
Duke Scholars
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Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1993
Volume
48
Issue
5
Start / End Page
1719 / 1747
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Chicago
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BANSAL, R., HSIEH, D. A., & VISWANATHAN, S. (1993). A New Approach to International Arbitrage Pricing. The Journal of Finance, 48(5), 1719–1747. https://doi.org/10.1111/j.1540-6261.1993.tb05126.x
BANSAL, R., D. A. HSIEH, and S. VISWANATHAN. “A New Approach to International Arbitrage Pricing.” The Journal of Finance 48, no. 5 (January 1, 1993): 1719–47. https://doi.org/10.1111/j.1540-6261.1993.tb05126.x.
BANSAL R, HSIEH DA, VISWANATHAN S. A New Approach to International Arbitrage Pricing. The Journal of Finance. 1993 Jan 1;48(5):1719–47.
BANSAL, R., et al. “A New Approach to International Arbitrage Pricing.” The Journal of Finance, vol. 48, no. 5, Jan. 1993, pp. 1719–47. Scopus, doi:10.1111/j.1540-6261.1993.tb05126.x.
BANSAL R, HSIEH DA, VISWANATHAN S. A New Approach to International Arbitrage Pricing. The Journal of Finance. 1993 Jan 1;48(5):1719–1747.
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1993
Volume
48
Issue
5
Start / End Page
1719 / 1747
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment