Is currency risk priced for emerging stock markets?
In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk premium is economically significant and represents a significant portion of the total risk premium during the crisis periods.
Volume (Year): 32 (2012)
Issue (Month): 3 ()
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- Antell, Jan & Vaihekoski, Mika, 2012.
"Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 22(1), pages 120-136.
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