Exchange rate risk exposure in asset pricing theory

Kuchin I.I. ()
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Kuchin I.I.: National Research University – Higher School of Economics

World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, 2016, vol. 16, issue 3, 31-41

Abstract: A large number of research papers on relation between currency risk and firms’ value have been published during last several decades. Researches acknowledged that currency risk could be a pricng factor. In this paper we investigate the historical development of models within the pricing theory. Also, we come to conclusion that dynamic, conditional and international asset pricing models were considered among the best for identifying the impact of exchange rate risk in developed and emerging markets. There is certain specific in currency exposure research. In this paper we considered different methodological aspects for identifying the impact of exchange rate and mentioned details of empirical analysis in emerging markets.

Keywords: exchange rate risk; asset pricing models; a pricing factor; dynamic models; emerging markets (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:nos:wjflnh:2016_3_03e

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