assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available …, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry … portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is …

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since … that currency performance in a risk-off episode has become more related to a currency?s yield and relationship to broader …

risk sharing. This paper provides a comprehensive empirical evaluation of the patterns of risk sharing among different … a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and … certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing …

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

foreign exchange, interest rate, and credit risk. For surveillance purposes, this framework can easily be integrated into one …

correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It …