La théorie de l'arbitrage et l'évaluation des actifs financiers dans le cadre international

Abstract : The purpose of this work is to extend the arbitrage pricing theory in the international context, to provide a fruitful alternative to the international asset pricing models. First of all, we show the arbitrage pricing equation is not exactly verified. However, and in spite of some problems, the model is theoretically coherent, and it is testable. Thus, we have carried out an empirical analysis of this model with samples of the countries. This test rejects the model for four countries. In a second part, we propose an international version of the arbitrage pricing theory. In this international model, new factors reflect return translation in an other currency and these factors are appreciated? The relation between factors coefficients when measured in different currencies has been investigated, as well as the pricing of the forward exchange rates which depends on the covariance of the currency fluctuation with the same common factors. A test of the international model with two international sample indicates that two of four risk premia are not null, consequently, the model is not rejected. Thus, it seemed interesting to perform an empirical analysis of the financial integration in the theoretical frame-work of this model. Our conclusion is that the world capital market is nit integrated. At last, a tentative of economic interpretation of factors is realized. We conclude that the important variables are the portfolio market, the production and the inflation
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Patrice Fontaine. La théorie de l'arbitrage et l'évaluation des actifs financiers dans le cadre international. Economies et finances. HEC PARIS, 1986. Français. ⟨NNT : 1986EHEC0004⟩. ⟨pastel-00994968⟩

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