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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