search query: @author Loo, J. C. H. / total: 3
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| Author: | Fang, H. Loo, J. C. H. |
| Title: | Foreign exchange risk and common stock returns: A note on international evidence |
| Journal: | Journal of Business Finance and Accounting
1996 : APR, VOL. 23:3, p. 473-480 |
| Index terms: | FOREIGN EXCHANGE MARKET STOCK MARKETS RETURN ON INVESTMENT |
| Language: | eng |
| Abstract: | This paper examines the effect of foreign exchange risk on common stock returns of four countries in a three-factor arbitrage pricing model of Ross (1976), where the prespecified factors are the rates of changes in the world market index, the national market index, and the foreign exchange rates. A seemingly unrelated regression is employed to test the non-linear parameter restriction implied by the asset pricing model. The hypothesis of the arbitrage pricing model with the effects of market segmentation and foreign exchange risk is not rejected in this study. |
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