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• W2021750444 abstract "Abstract Whether stock returns are linked to currency movements and whether currency risk is priced in a domestic context are less conclusive and thus still subject to a great debate. Based on a different approach, this paper attempts to provide new empirical evidence on these two inter-related issues, which are critical to investors and corporate risk management. In particular, this paper not only explores the possibility of asymmetric currency exposure that may explain why prior studies, which focus exclusively on linear exposure, have difficulty in detecting it, but also tests whether this asymmetric currency exposure is priced. The results show strong evidence of asymmetric currency exposure and currency risk pricing, suggesting that both asymmetry and conditional heteroskedasticity play important roles in testing currency exposure and its price." @default.
• W2021750444 created "2016-06-24" @default.
• W2021750444 creator A5069236829 @default.
• W2021750444 date "2008-09-01" @default.
• W2021750444 modified "2023-09-25" @default.
• W2021750444 title "Asymmetric currency exposure and currency risk pricing" @default.
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• W2021750444 doi "https://doi.org/10.1016/j.irfa.2007.09.002" @default.
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