Du, Ding and Hu, Ou and Zhao, Xiaobing (2014) Macroeconomic announcements and foreign exchange risk: Working paper series--14-05. Working Paper. NAU W.A. Franke College of Business.
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Abstract
Savor and Wilson (2013a, 2013b) suggest that the tradeoff between state variable risk and asset returns underlying standard asset-pricing theories should be particularly strong on prescheduled macroeconomic announcement days, because important information about the state of the economy is revealed at such times. We apply this insight to foreign-exchange risk, and find robust evidence that foreign-exchange risk is priced on prescheduled macroeconomic announcement days. Our results make important contributions to both international finance and empirical asset-pricing literature.
Item Type: | Monograph (Working Paper) |
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Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
ID number or DOI: | 14-05 |
Keywords: | Working paper, Macroeconomic Announcements, Foreign Exchange Risk |
Subjects: | H Social Sciences > HB Economic Theory |
NAU Depositing Author Academic Status: | Faculty/Staff |
Department/Unit: | The W.A. Franke College of Business |
Date Deposited: | 15 Oct 2015 21:39 |
URI: | http://openknowledge.nau.edu/id/eprint/1458 |
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