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Foreign exchange exposure and the pricing of currency risk in equity returns: Some Australian evidence

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  • Loudon, Geoffrey F.

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  • Loudon, Geoffrey F., 1993. "Foreign exchange exposure and the pricing of currency risk in equity returns: Some Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 1(4), pages 335-354, December.
    • Handle: RePEc:eee:pacfin:v:1:y:1993:i:4:p:335-354
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    Cited by:

    1. Azher, Sara & Iqbal, Javed, 2016. "Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market," Journal of Asian Economics, Elsevier, vol. 43(C), pages 37-48.
    2. Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
    3. Jang-Ting Guo & Rong-Chang Wu, 1998. "Financial Liberalization and the Exchange-Rate Exposure of the Taiwanese Firms: A Nonparametric Analysis of Taiwan," Multinational Finance Journal, Multinational Finance Journal, vol. 2(1), pages 37-61, March.
    4. Di Iorio, Amalia & Faff, Robert, 2002. "The pricing of foreign exchange risk in the Australian equities market," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 77-95, January.
    5. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
    6. Sagarika Mishra & Harminder Singh, 2012. "Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 115-127, April.
    7. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, vol. 37(C), pages 451-463.
    8. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    9. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
    10. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    11. Ahmed A. El-Masry, 2004. "The Exchange Rate Exposure of UK Nonfinancial Companies: Industry-Level Analysis," International Finance 0401001, University Library of Munich, Germany.
    12. Bailey, Warren & Peter Chung, Y., 1996. "Risk and return in the Philippine equity market: A multifactor exploration," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 197-218, July.

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