Asset prices and exchange risk: Empirical evidence from Canada

Lucie Samson

Research in International Business and Finance, 2013, vol. 28, issue C, 35-44

Abstract: Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact on firm value in that country between 1971 and 2004. Inflation risk also played a non negligible role during the seventies and eighties. The role played by market risk is harder to ascertain.

Keywords: Asset pricing; Risk premium; Exchange risk; Economic factors (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:28:y:2013:i:c:p:35-44

DOI: 10.1016/j.ribaf.2012.09.006

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