The Pricing of Exchange Rate Risk in the Stock Market
This paper examines the pricing of exchange rate risk in the U.S. stock market, using two factor and multi-factor arbitrage pricing models. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries. The…
# The Pricing of Exchange Rate Risk in the Stock Market
> OpenAlex Metadata Hub · https://openalex.org/W2036776382
## Bibliographic
- **DOI:** 10.2307/2331212
- **Year:** 1991
- **Citations:** 633
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.2307/2331212
## Authors
- Philippe Jorion
## Abstract
This paper examines the pricing of exchange rate risk in the U.S. stock market, using two factor and multi-factor arbitrage pricing models. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries. The empirical results, however, do not suggest that exchange risk is priced in the stock market. The unconditional risk premium attached to foreign currency exposure appears to be small and never significant. As a result, active hedging policies by financial managers cannot affect the cost of capital, and other reasons must explain why firms decide to hedge.
## Keywords
Business, Stock exchange, Financial economics, Exchange rate, Monetary economics, Stock market, Economics, Financial system, Finance
## Concepts
- Business
- Stock exchange
- Financial economics
- Exchange rate
- Monetary economics
- Stock market
- Economics
- Financial system
- Finance
- Paleontology
- Biology
- Horse
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*Metadata only — full text not imported unless Open Access license permits.*
Bài “The Pricing of Exchange Rate Risk in the Stock Market” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex.
Tóm lược học thuật (đã diễn giải): This paper examines the pricing of exchange rate risk in the U.S. stock market, using two factor and multi-factor arbitrage pricing models. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries. The empirical results, however, do not suggest that exchange risk is priced in the stock market. The unconditional risk premium attached to foreign currency exposure appears to be small and never significant. As a result, active hedging policies by financial managers cannot affect the cost of capital, and other reasons must explain why firms decide to hedge.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. This paper examines the pricing of exchange rate risk in the U.S.
2. stock market, using two factor and multi-factor arbitrage pricing models.
3. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries.
4. The empirical results, however, do not suggest that exchange risk is priced in the stock market.
5. The unconditional risk premium attached to foreign currency exposure appears to be small and never significant.
6. As a result, active hedging policies by financial managers cannot affect the cost of capital, and other reasons must explain why firms decide to hedge.
Trader nên nối luận điểm policy/lãi suất trong tài liệu với bias trung hạn của USD và các cặp major — đặc biệt quanh FOMC / dữ liệu CPI.
Với XAUUSD: kỳ vọng cắt lãi / USD yếu thường hỗ trợ vàng; hawkish surprise thường gây áp lực giảm — dùng khung này để đọc reaction sau tin, không đoán trước.
Áp dụng vào FX: theo dõi transmission từ theory (pricing, carry, balance-sheet) sang hành vi giá trên M15–H4 sau các event thanh khoản cao.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Góc Gold (XAUUSD): đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
