This paper was formerly circulated under the title “Is Foreign Exchange Delta Hedging Risk Priced?” The authors thank Ken French for the Fama and French factors as well as the momentum factor, Lubos Pastor for the liquidity factor, Carol Osler for the foreign exchange data, and Martin Lettau for the consumption-wealth data. We thank an anonymous referee, Andrea Buraschi, Chuck Whiteman, Mark Wohar, and participants at the 2005 Missouri Economics Conference and the 2005 FMA annual meeting for helpful suggestions. The views expressed are those of the authors and do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis or the Federal Reserve System. Any errors are our own. The authors worked in the Research Division of Federal Reserve Bank of St. Louis when this project began.
Foreign Exchange Volatility Is Priced in Equities
Article first published online: 3 DEC 2008
© 2008 Financial Management Association International.
Volume 37, Issue 4, pages 769–790, Winter 2008
How to Cite
Guo, H., Neely, C. J. and Higbee, J. (2008), Foreign Exchange Volatility Is Priced in Equities. Financial Management, 37: 769–790. doi: 10.1111/j.1755-053X.2008.00034.x
- Issue published online: 3 DEC 2008
- Article first published online: 3 DEC 2008
Options for accessing this content:
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!