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

  • 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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    1. Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
    2. Ikeda, S., 1989. "Arbitrage Asset Pricing Under Exchange Risk," ISER Discussion Paper 0193, Institute of Social and Economic Research, Osaka University.
    3. Gallant, A. Ronald, 1975. "Seemingly unrelated nonlinear regressions," Journal of Econometrics, Elsevier, vol. 3(1), pages 35-50, February.
    4. 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.
    5. 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.
    6. 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.
    7. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    8. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120.
    9. 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.
    10. 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.
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