Krapl, Alain; Giaccotto, Carmelo - In: Journal of International Money and Finance 51 (2015) C, pp. 71-88
This paper makes two contributions to the literature. First, we build on the methodology of Ang and Liu (2004) to model the cost of capital term-structure for firms subject to foreign exchange (FX) risk. We emphasize the role of time-varying parameters such as FX risk and factor loadings....
