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035   $a(SSID)ssj0000940106
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035   $a(PQKBTitleCode)TC0000940106
035   $a(PQKBWorkID)10946533
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035   $a(OCoLC)698585521
035   $a(IMF)WPIEE2006194
035   $a(MiAaPQ)EBC3014330
035   $a(EXLCZ)993360000000443153
100   $a20061003d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aCurrency risk premia in global stock markets /$fprepared by Shaun K. Roache and Matthew D. Merritt
205   $a1st ed.
210   $a[Washington, D.C.] $cInternational Monetary Fund$d2006
215   $a1 online resource (27 p.)
225 1 $aIMF working paper ;$vWP/06/194
300   $a"August 2006."
311   $a1-4518-6454-X 
327   $a""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES""
330 3 $aLarge fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
410  0$aIMF working paper ;$vWP/06/194.
606   $aForeign exchange rates
606   $aForeign exchange market
615  0$aForeign exchange rates.
615  0$aForeign exchange market.
700   $aRoache$b Shaun K$01753167
701   $aMerritt$b Mathew D$01754229
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910814667903321
996   $aCurrency risk premia in global stock markets$94190471
997   $aUNINA