Currency Risk Premia in Global Stock Markets / / Matthew Merritt, Shaun Roache
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| Autore: |
Merritt Matthew
|
| Titolo: |
Currency Risk Premia in Global Stock Markets / / Matthew Merritt, Shaun Roache
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica: | 1 online resource (27 p.) |
| Soggetto topico: | Foreign exchange rates |
| Foreign exchange market | |
| Banks and Banking | |
| Finance: General | |
| Foreign Exchange | |
| Investments: General | |
| Money and Monetary Policy | |
| Financing Policy | |
| Financial Risk and Risk Management | |
| Capital and Ownership Structure | |
| Value of Firms | |
| Goodwill | |
| Monetary Systems | |
| Standards | |
| Regimes | |
| Government and the Monetary System | |
| Payment Systems | |
| General Financial Markets: General (includes Measurement and Data) | |
| Investment | |
| Capital | |
| Intangible Capital | |
| Capacity | |
| Financial services law & regulation | |
| Monetary economics | |
| Finance | |
| Macroeconomics | |
| Currency | |
| Foreign exchange | |
| Exchange rate risk | |
| Currencies | |
| Stock markets | |
| Return on investment | |
| Exchange rates | |
| Financial risk management | |
| Money | |
| Stock exchanges | |
| Saving and investment | |
| Soggetto geografico: | United States |
| Altri autori: |
RoacheShaun
|
| Note generali: | "August 2006." |
| Nota di contenuto: | ""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Currency Risk Premia in Global Stock Markets |
| ISBN: | 1-4623-9621-6 |
| 1-4527-4610-9 | |
| 1-282-44794-7 | |
| 1-4519-9116-9 | |
| 9786613821140 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910788524003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2006/194