Peter, Chung Y.; Zhong-guo, Zhou - In: Studies in Nonlinear Dynamics & Econometrics 16 (2012) 1, pp. 1-33
This paper reexamines the pricing of exchange rate risk in the U.S. stock market. We first construct stock portfolios based on the Foreign Exchange Income (FEI), a measure of currency exposure of firms, reported in their annual reports. We then develop two-factor and multi-factor nonparametric...