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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72679

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72679

Title:	The Exchange Risk Exposure of Asset Returns
Authors:	周行一
Contributors:	財管系
Date:	1997-01
Issue Date:	2015-01-08 17:30:34 (UTC+8)
Abstract:	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 we do provides a clearer picture of exchange exposure.
Relation:	Journal of Business, 105-123.
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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