1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
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 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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