This paper conducts empirical tests in a conditional setting for 10 developed and 12 emerging markets to determine whether emerging market currency risk is priced and if it spills over into developed market assets. Our empirical model is based on real exchange rate measures and it allows...

We provide new evidence on the pricing of exchange risk in the global stock markets. We conduct empirical tests in a conditional setting for ten developed markets and twelve emerging markets to determine whether emerging market currency risk affects emerging market equities and if it spills over...

In this paper, we provide new evidence about the unconditional pricing of exchange risk in the stock market, based on emerging market data. We conduct empirical tests using cross-sectional data at the market, portfolio and firm level from nine emerging markets (EMs) to determine whether exchange...

This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is...

In this paper we provide new evidence about the unconditional pricing of exchange risk in the stock market based on emerging market data. We conduct empirical tests using cross-sectional data at the market, portfolio and firm level from nine emerging markets to determine whether exchange risk is...

We examine the role of emerging markets in providing currency diversification benefits. We use global sectoral portfolios for developed and emerging markets. Our empirical tests based on a conditional international asset pricing model show that on average the prices of currency risks are very...

International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the...