The Exchange-Rate Risk Exposure of Asset Returns

Edward H Chow, Wayne Y Lee and Michael E Solt

The Journal of Business, 1997, vol. 70, issue 1, 105-23

Abstract: Real exchange-rate changes affect bonds differently from stocks. Bonds, having relatively fixed income streams, reflect only an interest-rate effect; stocks reflect a conjunction of interest-rate and cash-flow effects. If exchange rate changes contain information about future interest rates and cash flows over more than one period, then using short horizons may not fully capture exchange exposure, which may explain why prior empirical studies have failed to find an association between stock returns and exchange rates. Using long-horizon returns and long-horizon exchange-rate changes as the authors do provides a clearer picture of exchange exposure. Copyright 1997 by University of Chicago Press.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (119)

Downloads: (external link)
http://dx.doi.org/10.1086/209710 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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:ucp:jnlbus:v:70:y:1997:i:1:p:105-23

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().