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Currency Risk Premia in Global Stock Markets / Matthew Merritt, Shaun Roache.
- Format:
- Book
- Government document
- Author/Creator:
- Merritt, Matthew.
- Series:
- IMF Working Papers; Working Paper ; No. 2006/194
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Foreign exchange rates.
- Foreign exchange market.
- Physical Description:
- 1 online resource (27 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2006.
- Language Note:
- English
- Summary:
- 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.
- Contents:
- ""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES""
- Notes:
- "August 2006."
- Description based on print version record.
- ISBN:
- 9786613821140
- 9781462396214
- 1462396216
- 9781452746104
- 1452746109
- 9781282447943
- 1282447947
- 9781451991161
- 1451991169
- OCLC:
- 698585521
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