Risk aversion, dividend growth and the foreign exchange forward premium

Watuwa, Richard

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dc.creator	Watuwa, Richard
dc.date.accessioned	2013-12-19T16:27:58Z
dc.date.available	2013-12-19T16:27:58Z
dc.date.issued	2006
dc.identifier	http://library2.smu.ca/bitstream/handle/01/25404/asb_proceedings_2006.pdf#page=84
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25530
dc.description.abstract	This paper investigates the empirical performance of dividend growth as a stochastic discount factor in an international consumption based capital asset pricing model. Given that dividend growth exhibits greater variability than consumption growth, it has potential to provide a better discount factor. We find that even although our proposed model yields lower estimates of the risk aversion parameter than the consumption growth model, the estimates are greater 10. Neither model is rejected by the data.	en_CA
dc.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2013-12-19T16:27:58Z No. of bitstreams: 0	en
dc.description.provenance	Made available in DSpace on 2013-12-19T16:27:58Z (GMT). No. of bitstreams: 0 Previous issue date: 2006	en
dc.language.iso	en	en_CA
dc.publisher	Atlantic Schools of Business	en_CA
dc.subject.lcsh	Foreign exchange rates
dc.subject.lcsh	Dividends
dc.subject.lcsh	Capital assets pricing model
dc.subject.lcsh	Financial risk
dc.title	Risk aversion, dividend growth and the foreign exchange forward premium	en_CA
dc.type	Text	en_CA
dcterms.bibliographicCitation	Proceedings of the Atlantic Schools of Business 36th annual conference, Mount Allison University, September 29th to October 1st, 2006, pp 84-89