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- W3201787543 abstract "This paper explores potential economic mechanisms through which fluctuations in exchange rates are priced in international stock returns. Our investigation focuses on two currency risk factors – a dollar-risk factor and a carry-trade-risk factor – and their explanatory power for a variety of test assets comprised of monthly returns for over 47,000 stocks from 46 countries and over four decades. We find that currency risk is more likely to be priced among firms producing tradeable goods, and especially during periods of sudden exchange rate fluctuations. The divergent evolution is robust with respect to the evaluating criteria on firm internationalization, the benchmark factor models chosen, the sub-periods examined, and the test asset portfolios assessed." @default.
- W3201787543 created "2021-10-11" @default.
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- W3201787543 date "2021-01-01" @default.
- W3201787543 modified "2023-09-23" @default.
- W3201787543 title "Understanding the Pricing of Currency Risk in Global Equity Markets" @default.
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- W3201787543 doi "https://doi.org/10.2139/ssrn.3921466" @default.
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