The international capm and a wavelet-based decomposition of value at risk
By: Viviana Fernandez
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 12233; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12233.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk.  In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio.  We apply our methodology to stock indices of seven emerging economies belonging to Latin America and Asia, for the sample period 1990-2004.  Our main conclusions are the following.  First, the estimation results hinge upon the choice of the world market portfolio.  In particular, the stock markets of the sampled countries appear to be more integrated with other emerging countries than with developed ones.  Second, value at risk depends on the investor's time horizon.  In the short run, potential losses are greater than in the long run.  Third, additional exposure to some specific stock indices will increase value at risk to a greater extent, depending on the investment horizon.  Our results go in line with recent research in asset pricing that stresses the importance of heterogeneous investors"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/25/2006.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.