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Which of the Statements A) Through D) Concerning De Santis

Question 50

Multiple Choice

Which of the statements a) through d) concerning De Santis and Gérard's "How Big is the Premium for Currency Risk" [Journal of Financial Economics 1998] conditional asset pricing model is FALSE?


A) Their model constrained risks and required returns to be constant over time.
B) Currency risk is a small fraction of total risk in the United States stock market.
C) Market risk is priced in international stock markets.
D) Currency risk is priced in international stock markets.
E) All of the above are true

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