05198oam 22014054 450 991078852400332120230829002151.01-4623-9621-61-4527-4610-91-282-44794-71-4519-9116-99786613821140(CKB)3360000000443153(EBL)3014330(SSID)ssj0000940106(PQKBManifestationID)11967007(PQKBTitleCode)TC0000940106(PQKBWorkID)10946533(PQKB)11601166(OCoLC)698585521(MiAaPQ)EBC3014330(IMF)WPIEE2006194(EXLCZ)99336000000044315320020129d2006 uf 0engur|n|---|||||txtccrCurrency Risk Premia in Global Stock Markets /Matthew Merritt, Shaun RoacheWashington, D.C. :International Monetary Fund,2006.1 online resource (27 p.)IMF Working Papers"August 2006."1-4518-6454-X ""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES""Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.IMF Working Papers; Working Paper ;No. 2006/194Foreign exchange ratesForeign exchange marketBanks and BankingimfFinance: GeneralimfForeign ExchangeimfInvestments: GeneralimfMoney and Monetary PolicyimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfGeneral Financial Markets: General (includes Measurement and Data)imfInvestmentimfCapitalimfIntangible CapitalimfCapacityimfFinancial services law & regulationimfMonetary economicsimfFinanceimfMacroeconomicsimfCurrencyimfForeign exchangeimfExchange rate riskimfCurrenciesimfStock marketsimfReturn on investmentimfExchange ratesimfFinancial risk managementimfMoneyimfStock exchangesimfSaving and investmentimfUnited StatesimfForeign exchange rates.Foreign exchange market.Banks and BankingFinance: GeneralForeign ExchangeInvestments: GeneralMoney and Monetary PolicyFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsGeneral Financial Markets: General (includes Measurement and Data)InvestmentCapitalIntangible CapitalCapacityFinancial services law & regulationMonetary economicsFinanceMacroeconomicsCurrencyForeign exchangeExchange rate riskCurrenciesStock marketsReturn on investmentExchange ratesFinancial risk managementMoneyStock exchangesSaving and investmentMerritt Matthew1462117Roache Shaun1462118DcWaIMFBOOK9910788524003321Currency Risk Premia in Global Stock Markets3670961UNINA