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Currency Risk Premia In Global Stock Market
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Book Synopsis Currency Risk Premia in Global Stock Markets by : Shaun K. Roache
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2006-08 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Currency Risk Premia in Global Stock Markets by : Shaun K. Roache
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Risk Premia in Global Stock Market by : Shaun K. Roache
Download or read book Currency Risk Premia in Global Stock Market written by Shaun K. Roache and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Risk Premia on International Investments by :
Download or read book Global Risk Premia on International Investments written by and published by Springer-Verlag. This book was released on 2013-07-01 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
Book Synopsis IMF Working Papers by : Shaun K. Roache
Download or read book IMF Working Papers written by Shaun K. Roache and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The World Price of Foreign Exchange Risk by : Bernard Dumas
Download or read book The World Price of Foreign Exchange Risk written by Bernard Dumas and published by . This book was released on 1993 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Momentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration by : Thomas Nitschka
Download or read book Momentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration written by Thomas Nitschka and published by . This book was released on 2009 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Price of Foreign Exchange Risk and the Local Factor by : Francesca Carrieri
Download or read book Global Price of Foreign Exchange Risk and the Local Factor written by Francesca Carrieri and published by . This book was released on 2005 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is priced under alternative model specifications and exchange rate measures. Since inflation rates in emerging markets are high and volatile, we argue that the use of real exchange rates offer a better proxy for risk stemming from purchasing power parity deviations. In addition to using real exchange rates, the empirical model allows for partial integration by including a time-varying price of local risk. Our main results support the hypothesis of significant exchange risk premia related to both emerging and developed markets. The price of exchange risk is also significantly time-varying consistent with previous evidence for major developed markets. The empirical evidence also suggests that there is variation across countries and over time in the relative importance of exchange risk premia. However, currency risk remains an important global risk factor even after accounting for local risk.
Book Synopsis Does Emerging Market Exchange Risk Affect Global Equity Prices? by : Francesca Carrieri
Download or read book Does Emerging Market Exchange Risk Affect Global Equity Prices? written by Francesca Carrieri and published by . This book was released on 2004 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide new evidence on the pricing of exchange risk in the global stock markets. We conduct empirical tests in a conditional setting for ten developed markets and twelve emerging markets to determine whether emerging market currency risk affects emerging market equities and if it spills over into developed markets. In addition to using real exchange rates for the risk related to PPP deviations, our empirical model allows currency risk to compete with broader economic and political risks. Our main results support the hypothesis of significant exchange risk premia for both developed and emerging market assets. There is also evidence that emerging market currency risk is priced separately from other emerging market specific risks. Finally, we find that the spillover impact is heightened during crisis episodes and such information in particular affects world and major currency risks.
Book Synopsis Monumentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration by : Thomas Nitschka
Download or read book Monumentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration written by Thomas Nitschka and published by . This book was released on 2009 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns by : Maria Vassalou
Download or read book Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns written by Maria Vassalou and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Common Risk Factors in Currency Markets by : Hanno Lustig
Download or read book Common Risk Factors in Currency Markets written by Hanno Lustig and published by . This book was released on 2008 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Currency excess returns are highly predictable, more than stock returns, and about as much as bond returns. In addition, these predicted excess returns are strongly counter-cyclical. The average excess returns on low interest rate currencies are 4.8 percent per annum smaller than those on high interest rate currencies after accounting for transaction costs. We show that a single return-based factor, the return on the highest minus the return on the lowest interest rate currency portfolios, explains the cross-sectional variation in average currency excess returns from low to high interest rate currencies. This evidence suggests currency risk premia are large and time-varying. In a simple affine pricing model, we show that the high-minus-low currency return measures the component of the stochastic discount factor innovations that is common across countries. To match the carry trade returns in the data, low interest rate currencies need to load more on this common innovation when the market price of global risk is high"--National Bureau of Economic Research web site
Book Synopsis Sentiment Risk Premia in the Cross-section of Global Equity and Currency Returns by : Roland Füss
Download or read book Sentiment Risk Premia in the Cross-section of Global Equity and Currency Returns written by Roland Füss and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Bauer, Gregory Harvey Publisher :Ann Arbor, Mich. : University Microfilms International ISBN 13 : Total Pages :162 pages Book Rating :4.:/5 (244 download)
Book Synopsis Foreign Exchange Risk Premia Over Short and Long Horizons [microform] : Frequentist and Bayesian Perspectives by : Bauer, Gregory Harvey
Download or read book Foreign Exchange Risk Premia Over Short and Long Horizons [microform] : Frequentist and Bayesian Perspectives written by Bauer, Gregory Harvey and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2001 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis U.S. Dollar Currency Premium in Corporate Bonds by : John Caramichael
Download or read book U.S. Dollar Currency Premium in Corporate Bonds written by John Caramichael and published by International Monetary Fund. This book was released on 2021-07-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates global debt issuance, borrowing costs in the dollar are more expensive without a currency hedge and about the same with a currency hedge when compared to the euro. This observed parity in currency-hedged corporate borrowing stands in contrast to the persistent deviation from covered interest parity in risk-free rates. Second, we observe a dollar safety premium in relative hedged borrowing costs, found in the subset of bonds with high credit ratings and short maturities, attributes similar to those of safe sovereigns. Finally, we find that firms flexibly adjust the currency mix of their debt issuance depending on the relative borrowing cost between dollar and euro debt. In sum, the disproportionate demand for U.S. dollar debt is reflected in higher issuance volumes that drive up the currency hedged dollar borrowing costs such that at the margin they equate to euro borrowing costs.
Book Synopsis International Financial Markets by : J. Orlin Grabbe
Download or read book International Financial Markets written by J. Orlin Grabbe and published by . This book was released on 1991 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed to provide readers with a solid framework for exploring financial markets as markets, this best-selling book dellineates the basic rules of the game in each of the three major international financial markets: foreign exchange, eurocurrencies, and international bonds, and conveys an intuitive feel for market dynamics. KEY TOPICS: Blends theory and institutional accounts. Considers the interbank market in foreign exchange. Explains how to hedge with FX forwards, futures, and options. A new chapter explores aspects of the European Monetary System in two separate discussions: historical background and general features; and the technical details of the Exchange Rate Mechanism. For readers interested in International Financial Markets. The previous edition ISBN is 0-13-500612-0.
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