The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

This paper examines the pricing of exchange rate risk in up and down world stock market periods using multifactor arbitrage pricing models during the period of January 1973 through June 2007. The risk premium of exchange rate exposure in up market periods appears to be small and insignificant....