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The currency risk factor in international equity pricing

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Title: The currency risk factor in international equity pricing
Author(s): Gupta, Manoj
Doctoral Committee Chair(s): Finnerty, Joesph E.
Department / Program: Finance
Discipline: Finance
Degree Granting Institution: University of Illinois at Urbana-Champaign
Degree: Ph.D.
Genre: Dissertation
Subject(s): Business Administration, Accounting Business Administration, General Business Administration, Management Economics, Finance
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.
Issue Date: 1990
Type: Text
Language: English
Rights Information: Copyright 1990 Gupta, Manoj
Date Available in IDEALS: 2011-05-07
Identifier in Online Catalog: AAI9026198
OCLC Identifier: (UMI)AAI9026198

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