Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963440 | Journal of International Financial Markets, Institutions and Money | 2012 | 15 Pages |
Abstract
⺠We examine whether foreign exchange volatility is a priced factor in the US stock market. ⺠We form a mimicking portfolio based on the sensitivity of individual stock returns to exchange rate volatility. ⺠We find that foreign exchange volatility cannot explain either the time-series or the cross-section of stock returns. ⺠We suggest examining the differential effects of the long-run and short-run components of exchange rate volatility on stock returns.
Related Topics
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Authors
Ding Du, Ou Hu,