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Some insights into the foreign exchange pricing puzzle: Evidence from a small open economy
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Some insights into the foreign exchange pricing puzzle: Evidence from a small open economy (2003)Some insights into the foreign exchange p…Pass‐through and Exposure (2002)Pass‐through and ExposureInternational Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)International Competition and…How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1 (1998)How big is the premium for cu…THE ECONOMIC EXPOSURE OF U.S. MULTINATIONAL FIRMS (1997)THE ECONOMIC EXPOSURE OF U.S.…International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (1997)International Competition and…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals (1995)Exchange Risk Sensitivity and…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…On the Determinants of Corporate Hedging (1993)On the Determinants of Corpor…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Exposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…International Arbitrage Pricing Theory (1983)International Arbitrage Prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stock returns and volatility in emerging financial markets (1997)On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach (2003)Stock prices and exchange rate dynamics (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)The Global Crisis and Equity Market Contagion (2014)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Exchange Rate Exposure (2001)The Determinants of Firms' Hedging Policies (1985)Economic Forces and the Stock Market (1986)Profitability of Momentum Strategies in the International Equity Markets (2000)Are Financial Assets Priced Locally or Globally? (2002)Modern Portfolio Theory and Investment Analysis. (1982)Estimating Exchange Rate Exposures: Issues in Model Structure (2003)Resolving the exposure puzzle: The many facets of exchange rate exposure (2009)Determinants of corporate borrowing (1977)The investment opportunity set and corporate financing, dividend, and compensation policies (1992)Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry (1996)Agency Costs, Risk Management, and Capital Structure (1998)Robustness of the Theory of Planned Behavior in Predicting Entrepreneurial Intentions and Actions (2013)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

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  • 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1506 cited
  • 1995Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals386 cited
  • 2001International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns

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363 cited
  • 1997International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns325 cited
  • 2002Pass‐through and Exposure316 cited
  • 1995The World Price of Foreign Exchange Risk265 cited
  • 1983International Arbitrage Pricing Theory264 cited
  • 1997THE ECONOMIC EXPOSURE OF U.S. MULTINATIONAL FIRMS171 cited
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