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Title: Short-horizon excess returns and exchange rate and interest rate effects
Authors: Joseph, Nathan Lael 
Lambertides, Neophytos 
Savva, Christos S. 
Keywords: Bivariate GJR-GARCH-M
Exchange rate and interest rate effects
Fama-French-Carhart (FFC) factors
Smooth transition function
Time-varying conditional correlations
Issue Date: 1-Jul-2015
Publisher: Elsevier Ltd
Source: Journal of International Financial Markets, Institutions and Money, 2015, Volume 37, Pages 54-76
Abstract: We examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1–40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.
ISSN: 10424431
Rights: © 2015 Elsevier B.V.
Appears in Collections:Άρθρα/Articles

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