Exchange risk premia and firm characteristics

Title
Exchange risk premia and firm characteristics
Authors
정현철
Keywords
Exchange rates; Exchange risk pricing; International asset pricing; Emerging markets; Foreign portfolio investment; Risk premium and firm characteristics
Issue Date
2015-03
Publisher
ELSEVIER SCIENCE BV
Citation
EMERGING MARKETS REVIEW, v. 22, Page. 96-125
Abstract
This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and industry. Using alternative model specifications and exchange rate measures, our results support the hypothesis of a significant unconditional exchange risk premium in the Korean stock market at firm and industry levels. More specifically, we find that the exchange risk premium is directly related to firm liquidity and inversely related to firm size and foreign ownership. (C) 2015 Elsevier B.V. All rights reserved.
URI
http://www.sciencedirect.com/science/article/pii/S1566014115000035http://hdl.handle.net/20.500.11754/22613
ISSN
1566-0141; 1873-6173
DOI
http://dx.doi.org/10.1016/j.ememar.2015.01.002
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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