The Foreign Exchange Risk Premium in the Cross-Section of Stock Returns: International Evidence

2019 ◽  
Author(s):  
Alain A. Krapl ◽  
Armin Varmaz
Keyword(s):  
Stock Returns ◽  
Foreign Exchange ◽  
Cross Section ◽  
Risk Premium ◽  
Foreign Exchange Risk ◽  
International Evidence ◽  
Exchange Risk ◽  
Foreign Exchange Risk Premium ◽  
The Cross

Foreign exchange risk and the cross-section of stock returns

2008 ◽  
Vol 27 (7) ◽  
pp. 1074-1097 ◽  
Author(s):  
James W. Kolari ◽  
Ted C. Moorman ◽  
Sorin M. Sorescu
Keyword(s):  
Stock Returns ◽  
Foreign Exchange ◽  
Cross Section ◽  
Foreign Exchange Risk ◽  
Exchange Risk ◽  
The Cross

scholarly journals The Foreign Exchange Risk Premium A Disaggregate Approach

2011 ◽  
Vol 18 (1) ◽  
Author(s):  
Dionysios Chionis ◽  
Nicolaos Kyriazis
Keyword(s):  
Foreign Exchange ◽  
Risk Premium ◽  
Foreign Exchange Market ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Market Participants ◽  
Exchange Risk ◽  
Foreign Exchange Risk Premium ◽  
Japanese Yen

<p class="MsoBodyText" style="margin: 0in 0.5in 0pt;"><span style="mso-bidi-font-style: italic;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign exchange markets. By using the theoretical framework developed by Domowitz and Hakkio it relates the risk premium in the foreign exchange market with the heterogeneity across the market participants. The empirical research using a disaggregate survey data base support the importance is supportive of the existence of time-varying risk premia for the British Pound, German Mark and Japanese Yen exchange rates. In particular, we demonstrate that consensus measures of the risk premium mask the existence because of the importance of heterogenous expectations.</span></span></span></p>

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