The long-run component of foreign exchange volatility and stock returns

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.

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Year of publication:	2014
Authors:	Du, Ding ; Hu, Ou
Published in:	Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 31.2014, C, p. 268-284
Publisher:	Elsevier
Subject:	Foreign exchange volatility \| Long-run component of foreign exchange volatility \| Short-run component of foreign exchange volatility \| Mimicking-factor portfolios

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Type of publication:	Article
Classification:	F31 - Foreign Exchange ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784955