The impact of exchange rate risk on international asset pricing under various market structures

2008 ◽  
Vol 32 (2) ◽  
pp. 169-195 ◽  
Author(s):  
Sema Bayraktar
Keyword(s):  
Exchange Rate ◽  
Asset Pricing ◽  
International Asset Pricing ◽  
Exchange Rate Risk ◽  
Market Structures ◽  
Rate Risk ◽  
The Impact

Multi-destination firms and the impact of exchange-rate risk on trade

2018 ◽  
Vol 46 (4) ◽  
pp. 1178-1193 ◽  
Author(s):  
Jérôme Héricourt ◽  
Clément Nedoncelle
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Rate Risk ◽  
The Impact

The impact of exchange rate risk on Africa's imports of world poultry

Agrekon ◽  
2015 ◽  
Vol 54 (2) ◽  
pp. 38-50 ◽  
Author(s):  
Christopher G. Davis ◽  
Fawzi A. Taha
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Rate Risk ◽  
The Impact

scholarly journals An Analysis of the Impact of Selected Factors on the Bond Market

2018 ◽  
Vol 66 (6) ◽  
pp. 1451-1458
Author(s):  
Blanka Francová
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Linear Regression Analysis ◽  
Exchange Rate Risk ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Capital Assets ◽  
Rate Risk ◽  
Pricing Theory ◽  
The Impact

Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non‑currency return and currency return. The currency return is defined by exchange rate risk and the non‑currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001–2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time‑series. The factors influence bond price differently for each yield and each time‑series. Our results confirm that currency movements significantly affect the bond prices.

Sign in / Sign up

Export Citation Format

Share Document