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Exchange rate risk and the equity performance of financial intermediaries
16 references·3 citing·38 second hop
Exchange rate risk and the equity performance of financial intermediaries (2012)Exchange rate risk and the equity perform…Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…An empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Flight to Quality, Flight to Liquidity, and the Pricing of Risk (2004)Flight to Quality, Flight to …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Foreign Exchange Exposure of Japanese Multinational Corporations (1998)The Foreign Exchange Exposure…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Evidence on Corporate Hedging Policy (1996)Evidence on Corporate Hedging…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Determinants of Corporate Hedging (1993)On the Determinants of Corpor…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…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…Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management (2019)Correlation and spillover eff…Determinants of corporate hedging practices: Malaysian evidence (2018)Determinants of corporate hed…Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management (2017)Theoretical and Empirical Dif…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Determinants of corporate borrowing (1977)The Determinants of Firms' Hedging Policies (1985)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)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1993On the Determinants of Corporate Hedging1,260 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 1984Exposure to Currency Risk: Definition and Measurement792 cited
  • 1996Evidence on Corporate Hedging Policy689 cited
  • 2010Stock Market Declines and Liquidity626 cited
  • 1998The Foreign Exchange Exposure of Japanese Multinational Corporations603 cited

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2004
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
476 cited

Cited by

  • 2019Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management27 cited
  • 2017Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management19 cited
  • 2018Determinants of corporate hedging practices: Malaysian evidence15 cited