Foreign Exchange Volatility Is Priced in Equities
Hui Guo (),
Christopher Neely and
Jason Higbee
Financial Management, 2008, vol. 37, issue 4, 769-790
Abstract:
This paper finds that standard asset pricing models fail to explain the significantly negative delta hedging errors that occur as a result of the purchase of options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD exchange rate predicts the time series of stock returns and is priced in the cross‐section of stock returns.
Date: 2008
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https://doi.org/10.1111/j.1755-053X.2008.00034.x
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Working Paper: Foreign exchange volatility is priced in equities (2006) 
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finmgt:v:37:y:2008:i:4:p:769-790
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