Affiliation:
1. Cornell University
2. Stevens Institute of Technology
Abstract
Abstract
We offer new evidence on how currency risk is priced in the cross-section of global stock returns. The focus is on two currency risk factors—a dollar-risk factor and a carry-trade-risk factor—and their explanatory power for a variety of test assets comprised monthly returns for over 37,000 stocks from forty-six countries and over four decades. We obtain reliable positive evidence of the pricing of carry-trade factor risk and the implied premia are statistically significant and economically as expected. The pricing of the dollar-risk factor is less reliable. Our inferences depend critically on the inclusion of emerging markets.
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Cited by
14 articles.
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