The response of industry stock returns to market, exchange rate and interest rate risks

Stuart Hyde

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividends, real interest rates and excess returns. All three sources of risk contain significant information about future cash flows and excess returns.

Keywords: Exchange rate exposure; interest rate risk; stock returns (search for similar items in EconPapers)
JEL-codes: F31 G12 G15 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9679

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