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The effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets

Sandoval, Eduardo; Vásquez, Arturo - In: The international journal of business and finance … 2 (2008) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10003951974

The pricing of exchange rate risk in up and down world stock market periods

Sandoval, Eduardo; Vásquez, Arturo - In: Global journal of business research : GJBR 3 (2009) 1, pp. 27-39

Persistent link: https://www.econbiz.de/10003955269

Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies

Nitschka, Thomas - 2007

Persistent link: https://www.econbiz.de/10003690945

Time-varying stock returns and labor income risks in the US and UK

Li, Yuming - In: The European journal of finance 17 (2011) 3/4, pp. 321-336

Persistent link: https://www.econbiz.de/10009155399

Currency exposure in China under the new exchange rate regime : national level evidence

Nie, Jing; Zhang, Zhichao; Zhang, Zhuang; Zhou, Si - In: China & world economy 23 (2015) 3, pp. 97-109

Persistent link: https://www.econbiz.de/10011345991

Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups

Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192

between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set … the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and …. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return …

Persistent link: https://www.econbiz.de/10009718901

Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - 2016

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...

Persistent link: https://www.econbiz.de/10011517046

Foreign exchange market inefficiency and exchange rate anomalies

Li, Jing; Miller, Norman C. - In: Journal of international financial markets, … 34 (2015), pp. 311-320

Persistent link: https://www.econbiz.de/10011474591

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

Extra-market sensitivity to a gold price factor : evidence from national market portfolios

Davidson, Sinclair; Faff, Robert W. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 23 (1999) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10001437502