Cash flows, currency risk, and the cost of capital

Ding Du, Ou Hu

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


Currency fluctuations can affect firms' cash flows. There is evidence that cash flows are related to a covariance risk factor in global stock markets. Taken together, these two lines of research suggest that the underlying link between currency movements and stock returns may be the cash flow. We test this transmission mechanism with the mimicking portfolio approach. Empirically, we find that our test assets have significant exposure to the currency factor-mimicking portfolio and this factor carries a significant and positive risk premium.

Original languageEnglish (US)
Pages (from-to)139-158
Number of pages20
JournalJournal of Financial Research
Issue number2
StatePublished - 2014

ASJC Scopus subject areas

  • Accounting
  • Finance


Dive into the research topics of 'Cash flows, currency risk, and the cost of capital'. Together they form a unique fingerprint.

Cite this