Du, Ding and Hu, Ou (2014) The long-run component of foreign exchange volatility and stock returns: Working paper series--14-02. Working Paper. NAU W.A. Franke College of Business.
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Abstract
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, Bodnar, and Kaul (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.
| Item Type: | Monograph (Working Paper) |
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| Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
| ID number or DOI: | 14-02 |
| Keywords: | Working paper; Foreign exchange volatility; Long-run component of foreign exchange volatility; Short-run component of foreign exchange volatility; Mimicking-factor portfolios |
| Subjects: | H Social Sciences > HG Finance |
| NAU Depositing Author Academic Status: | Faculty/Staff |
| Department/Unit: | The W.A. Franke College of Business |
| Date Deposited: | 15 Oct 2015 21:40 |
| URI: | http://openknowledge.nau.edu/id/eprint/1461 |
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