This study examines the relationship between carry trade returns and those of stock markets,
using daily data from January 1995 to December 2011, and evaluates volatility spillover for …

Abstract [eng] The public sector institutions are constantly looking for the most efficient ways
of investment implementation and service delivery, while the collaboration with the private …

Interest rates are currently very low in the countries. In these countries bonds are issued with
low or negative yields. In this paper, I empirically investigate the factors that affect the price …

The modern increase in global human and capital movement has necessitated a more
sophisticated understanding of the perceived differentials in the valuation of capital …

We investigate the potential link between momentum in currency returns and global
economic risk as measured by currency return dispersion (RD). Initial tests contribute to the …

This paper offers new evidence on the dynamic behavior of multifactor models. Specifically,
we investigate the significance and temporal stability of conditional factor betas in the …

This paper proposes a simple method to measure and compare the average relative return
contribution of proposed risk factors. The method is applied to six common risk factors …

Exchange rate risk is important factor for the valuation of capital asset on international
markets. According to the International Arbitrage Pricing Theory currency movements affect …

In determining the rate of return of stocks, many models have been introduced. Equilibrium
models like APT and multifactor models have been used in calculating the level of risk and …

This study is dedicated to estimating the impact of currency risk on the cost of equity in
Brazil, Russia, India and South Africa. Our contribution to the literature is that we have …