Exchange Rate Risk Premium
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Foreign Exchange Risk Premium
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Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1997-04-01
Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni 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 1997-04-01 with Business & Economics categories.
This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.
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.
Foreign Exchange Rate Exposure And Risk Premium In International Investments
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Author : Sung C. Bae
language : en
Publisher:
Release Date : 2007
Foreign Exchange Rate Exposure And Risk Premium In International Investments written by Sung C. Bae and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
We examine how exchange rate changes affect the security returns and how economic and translation exposure components of exchange rate risk are priced across countries. Employing ADRs of four countries, we document four main findings. First, exchange rate changes are negatively related to underlying share returns of ADRs, but positively to ADR returns observed in the U.S. markets. Second, ADR returns are more closely related to local market returns than U.S. market returns, indicating that the local market environment plays a bigger role in determining ADR returns. Third, U.S. and local investors require different risk premiums for exchange rate risk present in ADR investments. Fourth, both the source (economic or translation exposure) and magnitude (high or low) of the exchange risk premium vary across countries. We obtain robust empirical findings for both country ADR portfolios and individual ADRs.
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia
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Author : Chae-sik Chŏng
language : en
Publisher: KIEP
Release Date : 2004
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia written by Chae-sik Chŏng and has been published by KIEP this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia
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Author : Chae-Shick Chung
language : en
Publisher:
Release Date : 2004
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia written by Chae-Shick Chung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Exchange Rates And Corporate Performance
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Author : Yakov Amihud
language : en
Publisher: Beard Books
Release Date : 2003
Exchange Rates And Corporate Performance written by Yakov Amihud and has been published by Beard Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
The Exchange Risk Premium Uncovered Unterest Parity And The Treatment Of Exchange Rates In Multicountry Macroeconomic Models
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Author : Ralph C. Bryant
language : en
Publisher:
Release Date : 1995
The Exchange Risk Premium Uncovered Unterest Parity And The Treatment Of Exchange Rates In Multicountry Macroeconomic Models written by Ralph C. Bryant and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Foreign exchange categories.
Foreign Exchange Risk Premium Determinants
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Author : Tigran Poghosyan
language : cs
Publisher:
Release Date : 2006
Foreign Exchange Risk Premium Determinants written by Tigran Poghosyan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The World Price Of Foreign Exchange Risk
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Author : Bernard Dumas
language : en
Publisher:
Release Date : 1993
The World Price Of Foreign Exchange Risk written by Bernard Dumas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Capital assets pricing model categories.
We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive.
A Habit Based Explanation Of The Exchange Rate Risk Premium
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Author : Adrien Verdelhan
language : en
Publisher:
Release Date : 2005
A Habit Based Explanation Of The Exchange Rate Risk Premium written by Adrien Verdelhan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Foreign exchange rates categories.