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The long-run component of foreign exchange volatility and stock returns

Listed author(s):
  • Du, Ding
  • Hu, Ou
Registered author(s):

    The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1042443114000535
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 31 (2014)
    Issue (Month): C ()
    Pages: 268-284

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    Handle: RePEc:eee:intfin:v:31:y:2014:i:c:p:268-284
    DOI: 10.1016/j.intfin.2014.04.005
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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