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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 |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2006.
|
| Colección: | IMF working paper ;
WP/06/194. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Roache, Shaun K., |e author. | |
| 245 | 1 | 0 | |a Currency risk premia in global stock markets / |c prepared by Shaun K. Roache and Matthew D. Merritt. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2006. | ||
| 300 | |a 1 online resource (25 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/194 | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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 | ||
| 504 | |a Includes bibliographical references (pages 18-20). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Foreign exchange rates. | |
| 650 | 0 | |a Foreign exchange market. | |
| 650 | 0 | |a Money |v Tables. | |
| 650 | 6 | |a Taux de change. | |
| 650 | 6 | |a Marché des changes. | |
| 650 | 7 | |a Money |2 fast | |
| 650 | 7 | |a Foreign exchange market |2 fast | |
| 650 | 7 | |a Foreign exchange rates |2 fast | |
| 655 | 7 | |a tables (documents) |2 aat | |
| 655 | 7 | |a Tables (Data) |2 fast | |
| 655 | 7 | |a Tables |2 fast | |
| 655 | 7 | |a Tables (Data) |2 lcgft | |
| 655 | 7 | |a Tables (Données) |2 rvmgf | |
| 700 | 1 | |a Merritt, Mathew D., |e author. | |
| 758 | |i has work: |a Currency risk premia in global stock markets (Text) |1 https://id.oclc.org/worldcat/entity/E39PCG8VGPKtXHKdPkdfqb9Fcd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Roache, Shaun K. |t Currency risk premia in global stock markets. |d [Washington, D.C.] : International Monetary Fund, ©2006 |w (OCoLC)163613260 |
| 830 | 0 | |a IMF working paper ; |v WP/06/194. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014330 |z Texto completo |
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