The Uncovered Equity Parity (UEP) condition states that countries with equity markets that are expected to perform strongly should experience a currency depreciation. We test this condition for 43 countries and nd that exchange rate movements are unrelated to di erentials in expected equity market returns, suggesting a systematic violation of UEP. Consequently, a trading strategy that invests in countries with the highest expected equity returns and shorts those with the lowest generates substantial excess returns and Sharpe ratios. These returns partially re
ect compensation for global equity volatility risk, but significant excess returns remain after controlling for exposure to standard risk factors.
Keywords: Empirical Asset Pricing, Exchange Rates, Uncovered Equity Parity, International Asset Allocation.
JEL classification: F31, G15.
자료실
자료실
[2014년 제 4차] What Do Stock Markets Tell Us About Exchange Rates?
작성자 : 관리자
조회수 : 785
게시일 :
2014-12-12