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...

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...