Παρακαλώ χρησιμοποιήστε αυτό το αναγνωριστικό για να παραπέμψετε ή να δημιουργήσετε σύνδεσμο προς αυτό το τεκμήριο:
https://hdl.handle.net/20.500.14279/9415| Τίτλος: | Short-horizon excess returns and exchange rate and interest rate effects | Συγγραφείς: | Joseph, Nathan Lael Lambertides, Neophytos Savva, Christos S. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Bivariate GJR-GARCH-M;Exchange rate and interest rate effects;Fama-French-Carhart (FFC) factors;Smooth transition function;Time-varying conditional correlations | Ημερομηνία Έκδοσης: | 6-Μαΐ-2015 | Πηγή: | 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 | Περίληψη: | 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 |
Publication Type: | Peer Reviewed |
| Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
CORE Recommender
SCOPUSTM
Citations
5
checked on 9 Νοε 2023
WEB OF SCIENCETM
Citations
5
Last Week
0
0
Last month
0
0
checked on 29 Οκτ 2023
Page view(s) 50
391
Last Week
0
0
Last month
0
0
checked on 22 Νοε 2024
Google ScholarTM
Check
Altmetric
Αυτό το τεκμήριο προστατεύεται από άδεια Άδεια Creative Commons
