Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9415| Title: | Short-horizon excess returns and exchange rate and interest rate effects | Authors: | Joseph, Nathan Lael Lambertides, Neophytos Savva, Christos S. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | 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: | 6-May-2015 | Source: | Journal of International Financial Markets, Institutions and Money, 2015, vol. 37, pp. 54-76. | Volume: | 37 | Start page: | 54 | End page: | 76 | Link: | Journal of International Financial Markets, Institutions and Money, | DOI: | http://dx.doi.org/10.1016/j.intfin.2015.04.005 | 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. | URI: | https://hdl.handle.net/20.500.14279/9415 | ISSN: | 10424431 | DOI: | 10.1016/j.intfin.2015.04.005 | Rights: | © Elsevier Attribution-NonCommercial-NoDerivs 3.0 United States |
Type: | Article | Affiliation : | Aston University Cyprus University of Technology |
| Appears in Collections: | Άρθρα/Articles |
CORE Recommender
SCOPUSTM
Citations
5
checked on Nov 9, 2023
WEB OF SCIENCETM
Citations
5
Last Week
0
0
Last month
0
0
checked on Oct 29, 2023
Page view(s) 50
362
Last Week
4
4
Last month
27
27
checked on Apr 27, 2024
Google ScholarTM
Check
Altmetric
This item is licensed under a Creative Commons License
