Asset Pricing and the Foreign Exchange Risk in the Polish Market

Xing, Jingjing (2012) Asset Pricing and the Foreign Exchange Risk in the Polish Market. [Dissertation (University of Nottingham only)] (Unpublished)

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (254kB)

Abstract

This study examines the relationship between the cross-section of Polish stock returns and the foreign exchange rates with a sample period from 2002 to 2011. The findings indicate that the foreign exchange risk is priced in the cross-section of Polish stock returns with a sample period spanning 2002 to 2011. Moreover, it is also evident that the relation between the expected returns and the foreign exchange sensitivity is not linear and the foreign exchange sensitivity is larger for stocks with small size and high book-to- market ratios.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 08 Apr 2013 11:54
Last Modified: 16 Oct 2016 20:06
URI: http://eprints.nottingham.ac.uk/id/eprint/26166

Actions (Archive Staff Only)

Edit View Edit View