Is Currency Risk Priced in Global Equity Markets?

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.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 23 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.