University of Illinois Urbana-Champaign

The currency risk factor in international equity pricing

Gupta, Manoj

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https://hdl.handle.net/2142/20161

Description

Title
The currency risk factor in international equity pricing
Author(s)
Gupta, Manoj
Issue Date
1990
Doctoral Committee Chair(s)
Finnerty, Joseph E.
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
  • Business Administration, Accounting
  • Business Administration, General
  • Business Administration, Management
  • Economics, Finance
Language
eng
Abstract
  • Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint. The significance of other factors, such as the domestic market index, world index, and industry index is also analyzed.
  • Two methodologies are used. One is based on the Asymptotic Principal Components when an approximate factor structure is assumed. The other is a multiple regression framework.
  • Monthly stock price returns for five countries are used. Thirty stocks are chosen from each country. There are a total of thirteen industry classifications. Fifteen years of data is used. The US Dollar is the numeraire.
  • Exchange risk is generally priced for US Dollar returns (the viewpoint of a US investor investing in foreign markets), and is not priced for local currency returns (the viewpoint of a local investor). The Domestic market index is always priced. The pricing of the World Index and the Industry Index is mixed, (i.e.), it is priced in certain cases and not in others.
Type of Resource
text
Permalink
http://hdl.handle.net/2142/20161
Copyright and License Information
Copyright 1990 Gupta, Manoj

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