标题: PM - International Asset Pricing [打印本页]

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作者: rohitdoshi    时间: 2011-7-13 13:31     标题: PM - International Asset Pricing

Pretty overwhelmed with the number of formulas on this topic which seem to boil down to the ones below - can you guys let me know if this sounds about right:

1. (ex-ante) Expected domestic currency return =
'Expected foreign currency interest rate return + expected inflation differential' OR
'Expected foreign currency interest rate return + nominal change in foreign currency appreciation'

2. '(ex-post) Actual domestic currency return' OR 'Unhedged expected domestic currency return' =
'Expected foreign currency interest rate return + nominal change in foreign currency appreciation' OR
'Expected domestic currency interest rate return + real change in foreign currency appreciation' OR
'Expected domestic currency interest rate return + FCRP (expected foreign currency appreciation minus interest rate differential)'

3. Hedged expected domestic currency return =
'foreign interest rate + forward premium (this is equal to the risk free interest rate differential)' OR
'Foreign currency return + percentage gain on the foreign currency forward'

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作者: mengxu    时间: 2011-7-13 13:31

I am.

I just wanted to check whether the various ways of deriving each of the returns above are in line with everyone's understanding.

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