Choi, Jongmoo Jay; Hiraki, Takato; Takezawa, Nobuya - In: Journal of Financial and Quantitative Analysis 33 (1998) 03, pp. 361-382
The exchange rate is an important variable that affects international competitiveness and performance of Japanese firms. We use an unconditional and a conditional multi-factor asset pricing model to examine whether exchange risk is recognized and priced in the Japanese stock market. The results...
