CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT

Ding Du; Ou Hu; Xiaobing Zhao

doi:10.1111/jfir.12111

CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT

Ding Du, Ou Hu, Xiaobing Zhao

Business, The W.A. Franke College of (CoB)

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

In this article, we test whether the currency risk premium in the U.S. equity market is particularly higher on prescheduled U.S. macroeconomic announcement days. Our empirical analyses find supporting evidence. Our results help strengthen recent conditional tests on currency risk and suggest that the currency risk premium in the U.S. equity market is driven by U.S. macroeconomic conditions (e.g., U.S. monetary policy).

Original language	English (US)
Pages (from-to)	359-388
Number of pages	30
Journal	Journal of Financial Research
Volume	39
Issue number	4
DOIs	https://doi.org/10.1111/jfir.12111
State	Published - Dec 1 2016

ASJC Scopus subject areas

Accounting
Finance

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10.1111/jfir.12111

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title = "CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT",

abstract = "In this article, we test whether the currency risk premium in the U.S. equity market is particularly higher on prescheduled U.S. macroeconomic announcement days. Our empirical analyses find supporting evidence. Our results help strengthen recent conditional tests on currency risk and suggest that the currency risk premium in the U.S. equity market is driven by U.S. macroeconomic conditions (e.g., U.S. monetary policy).",

author = "Ding Du and Ou Hu and Xiaobing Zhao",

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CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT

Abstract

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