Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7364927 | Journal of International Financial Markets, Institutions and Money | 2014 | 17 Pages |
Abstract
The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ding Du, Ou Hu,