{"id":"W4312653808","doi":"10.2139/ssrn.4239892","title":"An Asset-Pricing Model with Commonality in Exchange Rates","year":2018,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"Brock University; University of Manitoba","funders":"","keywords":"Capital asset pricing model; Economics; Foreign exchange risk; Econometrics; Currency; Financial economics; Equity (law); Risk–return spectrum; Emerging markets; Expected return; Equity risk; Exchange rate; Monetary economics; Portfolio; Finance; Valuation (finance)","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003834694,0.001679604,0.003772563,0.001692369,0.001100241,0.006316091,0.003852466,0.006291956,0.003795011],"category_scores_gemma":[0.01097143,0.001092244,0.002063925,0.002224511,0.003025226,0.00694839,0.003307491,0.003862734,0.0005441668],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001655928,"about_ca_system_score_gemma":0.001286327,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.006565406,"about_ca_topic_score_gemma":0.00315076,"domain_scores_codex":[0.9981831,0.000791116,0.0001095681,0.0004218993,0.0002209568,0.0002733622],"domain_scores_gemma":[0.9929345,0.004261924,0.001112024,0.0003627492,0.0004433832,0.0008854093],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003838082,0.0001584923,0.002913483,0.0001107732,0.0002480203,0.001472314,0.0002926674,0.3737937,0.001010074,0.6122755,0.001727656,0.005613462],"study_design_scores_gemma":[0.0001301572,0.00007253067,0.0004641709,0.00001440442,0.00009009612,0.0002105119,0.00004928139,0.8872123,0.0001136744,0.1111405,0.0004514763,0.00005087684],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5801551,0.001982121,0.393705,0.006333132,0.0003397149,0.0001199918,0.0009999792,0.0003278582,0.01603713],"genre_scores_gemma":[0.9841334,0.000581759,0.005228953,0.0001101588,0.000186496,0.00004205617,0.000223493,0.00002762691,0.009466045],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.006565406,"threshold_uncertainty_score":0.02028006,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02543463195133587,"score_gpt":0.2561715253502933,"score_spread":0.2307368933989574,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}