Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia
Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia
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对冲能说明全部情况吗？
DOI：
10.2139/ssrn.1138148
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
Delroy M. Hunter
中科院分区：
文献类型：
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作者：
Bill Francis;I. Hasan;Delroy M. Hunter
虽然汇率变动对行业竞争力的重要性在理论上已经得到充分证实，但几乎没有证据表明汇率风险会影响美国行业。将条件资产定价模型应用于美国36个行业，我们发现所有行业都有显著的货币溢价，使股本成本增加约2.47个百分点，占总风险溢价绝对值的约11.7%。外汇溢价的跨行业变化由外汇收入、行业竞争力、杠杆率、流动性等行业特征解释，而其时间变化则由美国总体对外贸易、货币政策、增长机会等宏观变量解释。结果表明，方法的弱点，而不是对冲，解释了微不足道的行业货币风险溢价在以前的工作中发现，从而解决了货币风险溢价是重要的，在总的股票市场水平，但不是在行业水平的难题。
While the importance of currency movements to industry competitiveness is theoretically well established, there is little evidence that currency risk impacts US industries. Applying a conditional asset-pricing model to 36 US industries, we find that all industries have a significant currency premium that adds about 2.47 percentage points to the cost of equity and accounts for approximately 11.7% of the absolute value of total risk premia. Cross-industry variation in the currency premium is explained by foreign income, industry competitiveness, leverage, liquidity and other industry characteristics, while its time variation is explained by US aggregate foreign trade, monetary policy, growth opportunities and other macro variables. The results indicate that methodological weakness, not hedging, explains the insignificant industry currency risk premium found in previous work, thus resolving the conundrum that the currency risk premium is important at the aggregate stock market level, but not at industry level.
影响因子：
8
作者：
Jia He;Lilian Ng
通讯作者：
Jia He;Lilian Ng
DOI：
10.3386/w2542
发表时间：
1988-03
期刊：
--
影响因子：
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作者：
Kenneth A. Froot;P. Klemperer
通讯作者：
Kenneth A. Froot;P. Klemperer