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The role of exchange and interest risk in equity valuation: A comparative study of international stock markets

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  • Prasad, Anita Mehra
  • Rajan, Murli
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3YXBJ3K-5/2/233dfb85da6297cedbd6108bb4321296
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 47 (1995)
    Issue (Month): 5 (December)
    Pages: 457-472

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    Handle: RePEc:eee:jebusi:v:47:y:1995:i:5:p:457-472

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    Web page: http://www.elsevier.com/locate/jeconbus

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    1. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
    2. Ikeda, S., 1989. "Arbitrage Asset Pricing Under Exchange Risk," ISER Discussion Paper 0193, Institute of Social and Economic Research, Osaka University.
    3. Theoharry Grammatikos & Anthony Saunders & Itzhak Swary, 1986. "Returns and risks of U.S. bank foreign currency activities," Working Papers 86-2, Federal Reserve Bank of Philadelphia.
    4. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    5. Chen, Carl R & Chan, Anthony, 1989. "Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions," The Financial Review, Eastern Finance Association, vol. 24(3), pages 457-73, August.
    6. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    7. Gallant, A. Ronald, 1975. "Seemingly unrelated nonlinear regressions," Journal of Econometrics, Elsevier, vol. 3(1), pages 35-50, February.
    8. Choi, Jongmoo Jay, 1984. "Consumption Basket, Exchange Risk, and Asset Demand," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 287-298, September.
    9. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120.
    10. Flannery, Mark J & James, Christopher M, 1984. " The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-53, September.
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