Currency Risk Premia in Global Stock Markets High quality books
Currency Risk Premia in Global Stock Markets
By:Shaun K. Roache,Matthew D. Merritt
Published on 2006-08-01 by International Monetary Fund
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting |home bias,| this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
This Book was ranked at 28 by Google Books for keyword currency.
Book ID of Currency Risk Premia in Global Stock Markets's Books is V9k1fUGuYkQC, Book which was written byShaun K. Roache,Matthew D. Merritthave ETAG "HAmnqMpZIY8"
Book which was published by International Monetary Fund since 2006-08-01 have ISBNs, ISBN 13 Code is and ISBN 10 Code is
Reading Mode in Text Status is true and Reading Mode in Image Status is true
Book which have "25 Pages" is Printed at BOOK under CategoryBanks and banking, Central
This Book was rated by Raters and have average rate at ""
This eBook Maturity (Adult Book) status is NOT_MATURE
Book was written in en
eBook Version Availability Status at PDF is falseand in ePub is true
Book Preview
Comments
Post a Comment