Exchange rate risk exposure in asset pricing theory
Abstract
A large number of research papers on relation between currency risk and firms’ value have been published during last several decades. Researches acknowledged that currency risk could be a pricing factor. In this paper we investigate the historical development of models within the pricing theory. Also, we come to conclusion that dynamic, conditional and international asset pricing models were considered among the best for identifying the impact of exchange rate risk in developed and emerging markets.
There is certain specific in currency exposure research. In this paper we considered different methodological aspects for identifying the impact of exchange rate and mentioned details of empirical analysis in emerging markets.
About the Author
I. I. Kuchin
National Research University Higher School of Economics, Moscow
Russian Federation
Russian Federation
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For citations:
Kuchin I.I. Exchange rate risk exposure in asset pricing theory. World of Economics and Management. 2016;16(3):31–41. (In Russ.)
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