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Currency risk in global equity marke...

Yost-Bremm, Christopher Ryan.

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Currency risk in global equity markets: Determinants, risk, and predictability.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Currency risk in global equity markets: Determinants, risk, and predictability./
Author:	Yost-Bremm, Christopher Ryan.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
Description:	197 p.
Notes:	Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.
Contained By:	Dissertation Abstracts International78-02A(E).
Subject:	Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10143914
ISBN:	9781339991078

Currency risk in global equity markets: Determinants, risk, and predictability.
Yost-Bremm, Christopher Ryan.

Currency risk in global equity markets: Determinants, risk, and predictability. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 197 p.

Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.

Thesis (Ph.D.)--Texas A&M University, 2016.

This dissertation aims to understand the impact that currency movement---in particular U.S. dollar movement---has in determining the returns to individual global equities. To that end, the dissertation focuses on three main goals. First, is to identify the optimal approach for measuring the degree of local/U.S. dollar currency exposure among so many disparate firms. Second, is to use this exposure to identify avenues for stock return predictability. And third, is to test whether currency exposure is systematic in the cross-section of returns---be that cross-section a country, region, or the world.

ISBN: 9781339991078Subjects--Topical Terms:

1557594
Banking.

Currency risk in global equity markets: Determinants, risk, and predictability.
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100 1 $a Yost-Bremm, Christopher Ryan. $3 3280366
245 1 0 $a Currency risk in global equity markets: Determinants, risk, and predictability.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 197 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.
500 $a Adviser: Sorin Sorescu.
502 $a Thesis (Ph.D.)--Texas A&M University, 2016.
520 $a This dissertation aims to understand the impact that currency movement---in particular U.S. dollar movement---has in determining the returns to individual global equities. To that end, the dissertation focuses on three main goals. First, is to identify the optimal approach for measuring the degree of local/U.S. dollar currency exposure among so many disparate firms. Second, is to use this exposure to identify avenues for stock return predictability. And third, is to test whether currency exposure is systematic in the cross-section of returns---be that cross-section a country, region, or the world.
520 $a The first section focuses on the measurement of exchange rate sensitivity for global firms and associated predictability. The analysis reveals that firms that are most strongly sensitive to currency fluctuations tend to have higher stock returns over the short to medium run. In addition, the research finds that information in the forward currency rate structure can be used to improve the predictability for such firms.
520 $a The second section takes a risk-based approach, and tests whether or not currency risk is a systematic risk factor worldwide. The findings suggest that currency risk is largely characterized as a regional---as opposed to global---consideration. However, firm fundamentals that tend to drive variation in currency exposure (such as firm size or profitability) are considerations that extend beyond regional boundaries. The section shows that because of that, worldwide systematic predictability as a result of currency exposure can still be achieved, even if the worldwide returns to that exposure are not homogeneous.
590 $a School code: 0803.
650 4 $a Banking. $2 bicssc $3 1557594
650 4 $a Finance. $3 542899
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710 2 $a Texas A&M University. $b Finance. $3 3280367
773 0 $t Dissertation Abstracts International $g 78-02A(E).
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10143914