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010   $a9786613821140
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010   $a9781452746104
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010   $a9781282447943
010   $a1282447947
010   $a9781451991161
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035   $a(EBL)3014330
035   $a(SSID)ssj0000940106
035   $a(PQKBManifestationID)11967007
035   $a(PQKBTitleCode)TC0000940106
035   $a(PQKBWorkID)10946533
035   $a(PQKB)11601166
035   $a(OCoLC)698585521
035   $a(IMF)WPIEE2006194
035   $a(MiAaPQ)EBC3014330
035   $a(IMF)WPIEA2006194
035   $aWPIEA2006194
035   $a(EXLCZ)993360000000443153
100   $a20020129d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aCurrency Risk Premia in Global Stock Markets /$fMatthew Merritt, Shaun Roache
205   $a1st ed.
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (27 p.)
225 1 $aIMF Working Papers
300   $a"August 2006."
311 08$a9781451864540 
311 08$a145186454X 
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 Papers; Working Paper ;$vNo. 2006/194
606   $aForeign exchange rates
606   $aForeign exchange market
606   $aBanks and Banking$2imf
606   $aCapacity$2imf
606   $aCapital and Ownership Structure$2imf
606   $aCapital$2imf
606   $aCurrencies$2imf
606   $aCurrency$2imf
606   $aExchange rate risk$2imf
606   $aExchange rates$2imf
606   $aFinance$2imf
606   $aFinance: General$2imf
606   $aFinancial Risk and Risk Management$2imf
606   $aFinancial risk management$2imf
606   $aFinancial services law & regulation$2imf
606   $aFinancing Policy$2imf
606   $aForeign Exchange$2imf
606   $aForeign exchange$2imf
606   $aGeneral Financial Markets: General (includes Measurement and Data)$2imf
606   $aGoodwill$2imf
606   $aGovernment and the Monetary System$2imf
606   $aIntangible Capital$2imf
606   $aInvestment$2imf
606   $aInvestments: General$2imf
606   $aMacroeconomics$2imf
606   $aMonetary economics$2imf
606   $aMonetary Systems$2imf
606   $aMoney and Monetary Policy$2imf
606   $aMoney$2imf
606   $aPayment Systems$2imf
606   $aRegimes$2imf
606   $aReturn on investment$2imf
606   $aSaving and investment$2imf
606   $aStandards$2imf
606   $aStock exchanges$2imf
606   $aStock markets$2imf
606   $aValue of Firms$2imf
607   $aUnited States$2imf
615  0$aForeign exchange rates.
615  0$aForeign exchange market.
615  7$aBanks and Banking
615  7$aCapacity
615  7$aCapital and Ownership Structure
615  7$aCapital
615  7$aCurrencies
615  7$aCurrency
615  7$aExchange rate risk
615  7$aExchange rates
615  7$aFinance
615  7$aFinance: General
615  7$aFinancial Risk and Risk Management
615  7$aFinancial risk management
615  7$aFinancial services law & regulation
615  7$aFinancing Policy
615  7$aForeign Exchange
615  7$aForeign exchange
615  7$aGeneral Financial Markets: General (includes Measurement and Data)
615  7$aGoodwill
615  7$aGovernment and the Monetary System
615  7$aIntangible Capital
615  7$aInvestment
615  7$aInvestments: General
615  7$aMacroeconomics
615  7$aMonetary economics
615  7$aMonetary Systems
615  7$aMoney and Monetary Policy
615  7$aMoney
615  7$aPayment Systems
615  7$aRegimes
615  7$aReturn on investment
615  7$aSaving and investment
615  7$aStandards
615  7$aStock exchanges
615  7$aStock markets
615  7$aValue of Firms
700   $aMerritt$b Matthew$01816671
701   $aRoache$b Shaun$01815930
801  0$bDcWaIMF
906   $aBOOK
912   $a9910973347703321
996   $aCurrency Risk Premia in Global Stock Markets$94372952
997   $aUNINA