رضا روشن

Along with increasing trade between countries, the changes in exchange rate is considered as one of the most important risk factors in the financial markets. exchange rate can macroeconomic variables such as prices of goods and services imports, prices of goods built inside and will affect stock returns.The aim of this thesis, Investigating relationship between changes in exchange rates and asset returns in the context of a consumption-based capital asset pricing model (CCAPM) theoretically and experimentally. For this purpose, Through the development of a basic CCAPM model, With the help of Epstein and Zin recursive utility function and have enter the imported consumer goods into it, this relationshi is investigated. The sample consisted of eight portfolios and monthly data for the period 2003 to 2015. The model estimation consists of two steps, In the first steps parameters of designed pricing model are estimated by using the Euler equations and Generalized Method of Moments (GMM) Hansen and Singleton. The results show that the subjective discount factor (?) equals to 0/539, So it can be concluded that economic factors are patient and they gain utility from the consumption of future periods, the coefficient of relative risk aversion equals to 1/127 that indices the economical agents are relatively high risk aversion, elasticity of substitution between consumable domestic goods and consumable imported goods equals to 0/95, which it presents a lower substitution effect between the two goods and more preference of investors to domestic goods than foreign goods and at finally, the elasticity of intertemporal substitutions equals to 0/83 that shows that people tend to trans parts of their consumption to later periods and invest in assets. The second steps the linear model of asset pricing model, by using two-pass regression Fama and MacBeth, the examined the effects of theexchange rate risk premium, inflation risk premium, market returns risk premium and domestic consu