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    題名: The Exchange-Rate Risk Exposure of Asset Returns
    作者: 周行一
    Chow, Edward H.;Lee, Wayne Y.;Solt, Michael E.
    日期: 1997-01
    上傳時間: 2008-11-05 16:51:02 (UTC+8)
    摘要: 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.
    關聯: Journal of Business, 70(1), 105-123
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1086/209710
    DOI: 10.1086/209710
    顯示於類別:[財務管理學系] 期刊論文

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