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Currency risk premia in global stock markets /
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 co...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2006.
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| Colección: | IMF working paper ;
WP/06/194. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 |
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| Descripción Física: | 1 online resource (25 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 18-20). |
| ISBN: | 1282447947 9781282447943 9781451991161 1451991169 |