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
Version of Record 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 online: 3 DEC 2008
- Version of Record online: 3 DEC 2008
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