Francis, Bill B.; Gleason, Kimberly; Hunter, Delroy M.; … - 2006
Drawing on the theoretical and empirical evidence that private information risk is priced in the expected returns of … factor, a world equity factor, and a world private information factor, we find that UIRP is violated for 28 single currencies … risk premium attributable to private information is economically large, statistically significant, and frequently dominates …