CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT

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Abstract

In this article, we test whether the currency risk premium in the U.S. equity market is particularly higher on prescheduled U.S. macroeconomic announcement days. Our empirical analyses find supporting evidence. Our results help strengthen recent conditional tests on currency risk and suggest that the currency risk premium in the U.S. equity market is driven by U.S. macroeconomic conditions (e.g., U.S. monetary policy).

Original languageEnglish (US)
Pages (from-to)359-388
Number of pages30
JournalJournal of Financial Research
Volume39
Issue number4
DOIs
StatePublished - Dec 1 2016

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ASJC Scopus subject areas

  • Accounting
  • Finance

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