Hyde, Stuart J (2007): The response of industry stock returns to market, exchange rate and interest rate risks. Published in: Managerial Finance , Vol. 33, (2007): pp. 693-709.
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This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividends, real interest rates and excess returns. All three sources of risk contain significant information about future cash flows and excess returns.
|Item Type:||MPRA Paper|
|Original Title:||The response of industry stock returns to market, exchange rate and interest rate risks|
|Keywords:||Exchange rate exposure; interest rate risk; stock returns|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Stuart Hyde|
|Date Deposited:||24. Jul 2008 10:30|
|Last Modified:||14. Feb 2013 16:59|
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