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The currency risk factor in international equity pricing (1992)

Gupta, Manoj ; Finnerty, Joseph E.

Springer

Review of quantitative finance and accounting 2 (1992), S. 245-257

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ISSN: 1573-7179

Schlagwort(e): Currency risk ; Asymptotic Principal Components

Quelle: Springer Online Journal Archives 1860-2000

Thema: Wirtschaftswissenschaften

Notizen: Abstract Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint. The significance of the domestic market index, and the world index is also analyzed. The methodology is based on the Asymptotic Principal Components when an approximate factor structure is assumed. Monthly stock price returns for five countries are used. Thirty stocks are chosen from each country. Fifteen years of data is used. The U.S. Dollar is the numeraire. Exchange risk is generally not priced. The Domestic market index is always priced. The pricing of the World Index is mixed, i.e., it is priced in certain case and not in others.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF00586437

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