The Resource Currency risk premia in global stock markets, prepared by Shaun K. Roache and Matthew D. Merritt, (electronic book)

Currency risk premia in global stock markets, prepared by Shaun K. Roache and Matthew D. Merritt, (electronic book)

Label
Currency risk premia in global stock markets
Title
Currency risk premia in global stock markets
Statement of responsibility
prepared by Shaun K. Roache and Matthew D. Merritt
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
CaPaEBR
http://library.link/vocab/creatorName
Roache, Shaun K
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
LC call number
HG3851
LC item number
.R63 2006eb
Literary form
non fiction
Nature of contents
standards specifications
http://library.link/vocab/relatedWorkOrContributorName
Merritt, Mathew D.
http://library.link/vocab/subjectName
  • Foreign exchange rates
  • Foreign exchange market
Label
Currency risk premia in global stock markets, prepared by Shaun K. Roache and Matthew D. Merritt, (electronic book)
Instantiates
Publication
Note
"August 2006."
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
ebr10380694
Dimensions
unknown
Extent
25 p.
Form of item
electronic
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Original version note
Original electronic resource
Other physical details
ill.
Reproduction note
Electronic resource.
Specific material designation
remote
Label
Currency risk premia in global stock markets, prepared by Shaun K. Roache and Matthew D. Merritt, (electronic book)
Publication
Note
"August 2006."
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
ebr10380694
Dimensions
unknown
Extent
25 p.
Form of item
electronic
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Original version note
Original electronic resource
Other physical details
ill.
Reproduction note
Electronic resource.
Specific material designation
remote

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