Search Results - subject:"Exchange rate risk factor"

Foreign exchange volatility and stock returns

Du, Ding; Hu, Ou - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1202-1216

This paper explores whether foreign exchange volatility is a priced factor in the US stock market. Our investigation is motivated by a number of empirical as well as theoretical considerations. Empirically, Menkhoff et al. (2012) find that foreign exchange volatility is a pervasive factor across...

Persistent link: https://www.econbiz.de/10010588041

Exchange rate risk in the US stock market

Du, Ding; Hu, Ou - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 137-150

stock market. However, by construction, their exchange rate risk factor has a strong correlation with the size factor, and …

Persistent link: https://www.econbiz.de/10010572102

Foreign exchange volatility and stock returns

Du, Ding; Hu, Ou - In: Journal of international financial markets, … 22 (2012) 5, pp. 1202-1216

Persistent link: https://www.econbiz.de/10010220195

Exchange rate risk in the US stock market

Du, Ding; Hu, Ou - In: Journal of international financial markets, … 22 (2012) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10009540833