Yen/Dollar Exchange Rate Risk and Premium in Asian Countries

1.与美国的结果相反，日本公司的汇率风险敞口在1975-92年期间平均为正，这是通过股市表现来衡量的。简而言之，这项研究的发现是独特的，因为股票回报对本国货币(意想不到的)升值是积极的，只有在日本才能观察到。与现有文献相反，这项研究记录了一个新的发现，即在后广场时期(1985-92)，汇率风险在日本资本市场上被显著定价。结果是稳健的经验方法论之间的条件和无条件资产定价模型，衡量日元/美元汇率，并授权解释变量或因素。这意味着汇兑风险溢价反映在公司的权益资本成本上，资本市场上的套期保值与日本投资者的投资组合无关。从理论上看，这项研究的结果很有趣，因为汇率风险因素必须在国际资产上定价，但在这里，汇率风险也是在国内资产上定价的。通过使用更先进的广义矩方法(GMM)经验模型，进一步验证了这一结果。这意味着国际因素变成了国内因素，其风险敞口也是国内定价的。马来西亚和印度尼西亚这两个亚洲市场的后广场协议时期也得出了类似的结果。然而，这两个县的结果的稳健性略弱于日本同行。我们将继续进行实证研究，以寻找更多的宏观经济影响。请注意，包括《金融与定量分析杂志》在内的主要金融期刊一直在审查两篇论文。

1. Opposite to the U.S.result, the exchange rate risk exposure of Japanese firms is on average positive for the 1975-92 period when it is measured through stock market performance. In short, the finding from this study is unique since stock returns is positive to the (unexpected) appreciation of domestic currency, only observable in Japan.2. Opposed to the existing literature, this study documents a new finding that during the post-Plaza (1985-92) period the exchange risk is significantly priced in the Japanese capital market. The result is robust to empirical methodology between a conditional and an unconditional asset pricing model, the measure of yen/dollar exchange rates, and authogonalization of the explanatory variables or factors. It implies that the exchange risk premium is reflected on the firm's cost of equity capital and hedging in the capital market is irrelevant for investors' portfolios in Japan.3. from the theoretical view point, the result obtained in this study is interesting since the exchange risk factor has to be priced across international assets but here exchange risk is priced also across domestic assets. This result is further revalidated by the use of the more advanced empirical model of the Generalized Method of Moments (GMM). It implies that the international factor became a domestic one and its exposure is also domestically priced.4. The similar results have been derived for the post-Plaza Accord period for the two Asian markets, Malaysia and Indonesia. However, the robustness of the results for these two counties are somewhat weaker than the Japanese counterpart. We will continue our empirical investigation for more macroeconomic implications.5. Notice that two papers have been under review by major finance journals including the Journal of Financial and Quantitative Analysis.