About OpenKnowledge@NAU | For NAU Authors

Macroeconomic announcements and foreign exchange risk: Working paper series--14-05

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.


Download (341kB) | Preview


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)
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

Actions (login required)

IR Staff Record View IR Staff Record View


Downloads per month over past year