The insignificance of currency risk in emerging markets is particularly puzzling, given a lack of hedging instruments and volatile currency movements in these markets. In this paper, we conjecture that this puzzle may be due to the comovement between exchange rates and the market factor in these...

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...

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 their exchange rate sensitivity portfolios have a...

Using short sale data of the Taiwan Stock Exchange from January 1991 to September 2004, we examine the informational role played by short interest in stock price formation. Consistent with previous findings based on the US and Australian stock markets, our results show that heavily shorted...

For the model-based estimation of the equity cost of capital, evidence shows that the common practice of using the average historical factor premiums as the estimates of the next-period factor premiums generates inaccurate estimates. I propose an alternative way to estimate factor premiums by...

In this paper, we revisit the day-of-the-week effect by examining the Taiwan stock market. Based on the daily data from 1991 to 2008, our results show that the Taiwan stock market exhibits a strong day-of-the-week effect. In particular, the return on Tuesday is negative and significant from 1991...