Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns
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Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns
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Author : Maria Vassalou
language : en
Publisher:
Release Date : 2000
Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns written by Maria Vassalou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Foreign exchange rates categories.
Sources Of Risk And Expected Returns In Global Equity Markets
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Author : Wayne E. Ferson
language : en
Publisher:
Release Date : 1994
Sources Of Risk And Expected Returns In Global Equity Markets written by Wayne E. Ferson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Capital assets pricing model categories.
This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models provide an improved explanation of the equity returns.
Tests Of Alternative International Asset Pricing Models
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Author : Maria Vassalou
language : en
Publisher:
Release Date : 1998
Tests Of Alternative International Asset Pricing Models written by Maria Vassalou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Previous studies have concluded that equity returns do not carry unconditional risk premia for exchange rate and inflation risks. We decompose changes in exchange rates into a component common across different exchange rates, and an idiosyncratic component. This approach allows the estimation of unconditional exchange rate premia on a large number of exchange rates. We also estimate both domestic and foreign inflation risk premia. Our analysis, carried out in the context of three alternative international asset pricing models and using stock returns from ten industrial countries, strongly rejects the hypotheses that equities carry a zero common or idiosyncratic exchange rate risk premium, or a zero domestic or foreign inflation risk premium. We find that an asset pricing model that accounts for the pricing of exchange rate and inflation risk, can explain cross country differences in asset returns reasonably well.
Currency Risk Premia In Global Stock Markets
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Author : Shaun K. Roache
language : en
Publisher: International Monetary Fund
Release Date : 2006-08
Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08 with Business & Economics categories.
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.
Global Liquidity
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Author : Mr.Akito Matsumoto
language : en
Publisher: International Monetary Fund
Release Date : 2011-06-01
Global Liquidity written by Mr.Akito Matsumoto and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Business & Economics categories.
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
The Price Of Inflation And Foreign Exchange Risk In International Equity Markets
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Author : Cesare Robotti
language : en
Publisher:
Release Date : 2001
The Price Of Inflation And Foreign Exchange Risk In International Equity Markets written by Cesare Robotti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Capital assets pricing model categories.
International Finance
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Author : Maurice D. Levi
language : en
Publisher: McGraw-Hill Companies
Release Date : 1990
International Finance written by Maurice D. Levi and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with International business enterprises categories.
This new edition has made greater use of appendices and asterisks in an effort to clarify certain parts of the text. There is new material on curves, countertrade, forfeiting currency options, theories of exchange rates and international asset pricing.
International Financial Management
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Author : Geert Bekaert
language : en
Publisher: Prentice Hall
Release Date : 2009
International Financial Management written by Geert Bekaert and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Foreign exchange categories.
For undergraduate and graduate students enrolled in an international finance course. Bekaert/Hodrick equips future business leaders with the analytical tools they need to make sound financial decisions in the face of a competitive global environment.
Market Volatility And Foreign Exchange Intervention In Emes
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Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
language : es
Publisher:
Release Date : 2013
Market Volatility And Foreign Exchange Intervention In Emes written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking, Central categories.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.