| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1002288 | Research in International Business and Finance | 2013 | 10 Pages |
Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact on firm value in that country between 1971 and 2004. Inflation risk also played a non negligible role during the seventies and eighties. The role played by market risk is harder to ascertain.
Graphical abstract. Estimated exchange risk premium.Figure optionsDownload full-size imageDownload as PowerPoint slideHighlights► Exchange risk is a factor priced by Canadian assets. ► The estimated exchange risk premium is both important and volatile. ► The role played by the inflation risk factor has decreased over time. ► The empirical evidence does not support the CAPM.
