Asset Pricing and Foreign Exchange Risk

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Asset Pricing and Foreign Exchange Risk

According to the International Capital Asset Pricing Model (ICAPM), the covariance of assets with foreign exchange currency returns should be a risk factor that must be priced when the purchasing power parity is violated. The goal of this study is to re-examine the relationship between stock returns...

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Bibliographic Details
Main Authors:	Apergis, Nicholas, Artikis, P., Sorros, J.
Format:	Journal Article
Published:	J A I Press Inc. 2011
Subjects:	Momentum Fama–French Foreign exchange risk Asset pricing Market risk premium Book-to-market ratio Volatility Size
Online Access:	http://hdl.handle.net/20.500.11937/19280

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