The Exchange Risk Exposure of Asset Returns

Title	The Exchange Risk Exposure of Asset Returns
Creator	周行一
Contributor	財管系
Date	1997-01
Date Issued	8-Jan-2015 17:30:34 (UTC+8)
Summary	Real exchange-rate changes affect bonds differently from stocks. Bonds, having relatively fixed income streams, reflect only an interest-rate effect; stocks reflect a conjunction of interest-rate and cash-flow effects. If exchange rate changes contain information about future interest rates and cash flows over more than one period, then using short horizons may not fully capture exchange exposure, which may explain why prior empirical studies have failed to find an association between stock returns and exchange rates. Using long-horizon returns and long-horizon exchange-rate changes as we do provides a clearer picture of exchange exposure.
Relation	Journal of Business, 105-123.
Type	article

dc.contributor	財管系
dc.creator (作者)	周行一	zh_TW
dc.date (日期)	1997-01
dc.date.accessioned	8-Jan-2015 17:30:34 (UTC+8)	-
dc.date.available	8-Jan-2015 17:30:34 (UTC+8)	-
dc.date.issued (上傳時間)	8-Jan-2015 17:30:34 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/72679	-
dc.description.abstract (摘要)	Real exchange-rate changes affect bonds differently from stocks. Bonds, having relatively fixed income streams, reflect only an interest-rate effect; stocks reflect a conjunction of interest-rate and cash-flow effects. If exchange rate changes contain information about future interest rates and cash flows over more than one period, then using short horizons may not fully capture exchange exposure, which may explain why prior empirical studies have failed to find an association between stock returns and exchange rates. Using long-horizon returns and long-horizon exchange-rate changes as we do provides a clearer picture of exchange exposure.
dc.format.extent	388593 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	Journal of Business, 105-123.
dc.title (題名)	The Exchange Risk Exposure of Asset Returns
dc.type (資料類型)	article	en