Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Exchange risk premia and firm characteristics
Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chung, Hyun chul | - |
| dc.contributor.author | Majerbi, Basma | - |
| dc.contributor.author | Rizeanu, Sorin | - |
| dc.date.accessioned | 2022-07-16T00:00:10Z | - |
| dc.date.available | 2022-07-16T00:00:10Z | - |
| dc.date.issued | 2015-03 | - |
| dc.identifier.issn | 1566-0141 | - |
| dc.identifier.issn | 1873-6173 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/157789 | - |
| dc.description.abstract | This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and industry. Using alternative model specifications and exchange rate measures, our results support the hypothesis of a significant unconditional exchange risk premium in the Korean stock market at firm and industry levels. More specifically, we find that the exchange risk premium is directly related to firm liquidity and inversely related to firm size and foreign ownership. | - |
| dc.format.extent | 30 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | Elsevier BV | - |
| dc.title | Exchange risk premia and firm characteristics | - |
| dc.type | Article | - |
| dc.publisher.location | 네델란드 | - |
| dc.identifier.doi | 10.1016/j.ememar.2015.01.002 | - |
| dc.identifier.scopusid | 2-s2.0-84923884722 | - |
| dc.identifier.wosid | 000353084600007 | - |
| dc.identifier.bibliographicCitation | Emerging Markets Review, v.22, pp 96 - 125 | - |
| dc.citation.title | Emerging Markets Review | - |
| dc.citation.volume | 22 | - |
| dc.citation.startPage | 96 | - |
| dc.citation.endPage | 125 | - |
| dc.type.docType | Article | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance | - |
| dc.relation.journalWebOfScienceCategory | Economics | - |
| dc.subject.keywordPlus | INSTITUTIONAL INVESTORS | - |
| dc.subject.keywordPlus | GENERALIZED-METHOD | - |
| dc.subject.keywordPlus | SAMPLE PROPERTIES | - |
| dc.subject.keywordPlus | EXPECTED RETURNS | - |
| dc.subject.keywordPlus | CURRENCY RISK | - |
| dc.subject.keywordPlus | CROSS-SECTION | - |
| dc.subject.keywordPlus | RATE EXPOSURE | - |
| dc.subject.keywordPlus | LIQUIDITY | - |
| dc.subject.keywordPlus | SEGMENTATION | - |
| dc.subject.keywordPlus | DETERMINANTS | - |
| dc.subject.keywordAuthor | Exchange rates | - |
| dc.subject.keywordAuthor | Exchange risk pricing | - |
| dc.subject.keywordAuthor | International asset pricing | - |
| dc.subject.keywordAuthor | Emerging markets | - |
| dc.subject.keywordAuthor | Foreign portfolio investment | - |
| dc.subject.keywordAuthor | Risk premium and firm characteristics | - |
| dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S1566014115000035?via%3Dihub | - |
- Files in This Item
- Go to Link
- Appears in
Collections - 서울 경영대학 > 서울 파이낸스경영학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Related Researcher
- Chung, Hyun chul
- SCHOOL OF BUSINESS (DEPARTMENT OF FINANCE)