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A three-factor model investigation of foreign exchange-rate exposure

✍ Scribed by Stephen P. Huffman; Stephen D. Makar; Scott B. Beyer


Book ID
116511892
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
182 KB
Volume
21
Category
Article
ISSN
1044-0283

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The floating of a number of European currencies in 1992 -1993 created a new body of data on foreign exchange risk premia, or deviations from uncovered interest rate parity (UIP). In this paper, excess returns to investments in SEK, NOK, FIM, GBP, ITL and ESP against the DEM are investigated. First,