Du, Ding; Hu, Ou - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 137-150
Kolari et al. (2008) show that exchange rate risk measured by contemporaneous exchange rate changes is priced in the US … stock market. However, by construction, their exchange rate risk factor has a strong correlation with the size factor, and … al. (2008), we find that exchange rate risk measured by contemporaneous exchange rate changes is not priced in the US …