Exchange risk premia and firm characteristics

Hyunchul Chung, Basma Majerbi and Sorin Rizeanu

Emerging Markets Review, 2015, vol. 22, issue C, 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.

Keywords: Exchange rates; Exchange risk pricing; International asset pricing; Emerging markets; Foreign portfolio investment; Risk premium and firm characteristics (search for similar items in EconPapers)
JEL-codes: F21 F31 G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014115000035
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:22:y:2015:i:c:p:96-125

DOI: 10.1016/j.ememar.2015.01.002

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().