Font, Begoña; Grau, Alfredo Juan - In: Quantitative Finance 12 (2012) 6, pp. 907-931
This paper tests the effects of exchange rate and inflation risk factors on asset pricing in the European Union (EU) stock markets. This investigation was motivated by the results of Vassalou [<italic>J. Int. Money Finance</italic>, 2000, <bold>19</bold>, 433--470] showing that both exchange rate and foreign inflation are...