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Publications [#312653] of David A. Hsieh

Journal Articles

  1. BANSAL, R; HSIEH, DA; VISWANATHAN, S, A New Approach to International Arbitrage Pricing, The Journal of Finance, vol. 48 no. 5 (January, 1993), pp. 1719-1747, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]
    (last updated on 2021/10/22)

    This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage‐pricing model does an adequate job of explaining the time series behavior of a cross section of international returns. 1993 The American Finance Association

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