Dollar beta and stock returns
نویسندگان
چکیده
Abstract The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected the response conditions to rate movements. We show that stock returns also reflect rates, with higher local currency associated a weaker dollar. broad dollar index emerges as global factor, consistent operating swings investors. introduce ‘dollar beta’ sensitivity emerging market indices have beta tend average returns, implying cross-section risk factor priced.
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ژورنال
عنوان ژورنال: Oxford open economics
سال: 2022
ISSN: ['2752-5074']
DOI: https://doi.org/10.1093/ooec/odac003