CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT

Research output: Contribution to journalArticle

1 Citation (Scopus)

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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Macroeconomic announcements
Currency risk premium
Equity markets
Macroeconomic conditions
Monetary policy
Currency risk

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT. / Du, Ding; Hu, Ou; Zhao, Xiaobing.

In: Journal of Financial Research, Vol. 39, No. 4, 01.12.2016, p. 359-388.

Research output: Contribution to journalArticle

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