search query: @author Glen, J. / total: 4
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| Author: | Domowitz, I. Glen, J. Madhavan, A. |
| Title: | Country and currency risk premia in an emerging market |
| Journal: | Journal of Financial and Quantitative Analysis
1998 : JUN, VOL. 33:2, p. 189-216 |
| Index terms: | FINANCIAL ANALYSIS RISK CURRENCY |
| Language: | eng |
| Abstract: | The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. The authors show that shocks in equity and debt market returns translate into long-term increases in the premium demanded by investors with respect to currency and country factors. Country and currency premia help explain equity returns and closed-end fund discounts. |
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