Exchange rate regimes, globalisation, and the cost of capital in emerging markets

摘要

This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate therneffect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Our results suggest that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets by reducing the currency risk premia demanded by foreign investors.