Conditional Pricing of Currency Risk in Africa's Equity Market

dc.contributor.authorKodongo, Odongo
dc.contributor.authorOjah, Kalu
dc.date.accessioned2019-07-26T09:05:33Z
dc.date.available2019-07-26T09:05:33Z
dc.date.issued2018-12-01
dc.descriptionHG 201en_US
dc.description.abstractIn this paper, we sought to establish whether Africa’s volatile currencies drive equity risk premium. We use the stochastic discount factor (SDF) framework to estimate various conditional specifications of the International Capital Asset Pricing Model through generalized method of moments technique. Our results show strong evidence of conditional, time-varying currency risk premium in equity returns. Currency risk is also perceived by international investors as important in informing the equities pricing kernel. We also find evidence that international investors are worried about Africa’s small size equity markets and build anticipated low trading into their pricing calculus.en_US
dc.description.sponsorshipAERCen_US
dc.identifier.isbn978-9966-61-047-8
dc.identifier.urihttps://publication.aercafricalibrary.org/handle/123456789/464
dc.publisherAERCen_US
dc.relation.ispartofseriesResearch Paper 354;RESEARCH PAPER 354
dc.subjectcurrency risken_US
dc.subjectequity marketsen_US
dc.subjectstochastic discount factoren_US
dc.subjectGMMen_US
dc.subjectafricaen_US
dc.titleConditional Pricing of Currency Risk in Africa's Equity Marketen_US
dc.typeArticleen_US
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