HDV_engine-efficiency-eval_WVU-rpt_oct2014
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HDV_engine-efficiency-eval_WVU-rpt_oct2014
Fordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinan HDV_engine-efficiency-eval_WVU-rpt_oct2014nceSpring 2006Information Risk in the International Currency Markets: Evidence from the Violation of UIRPBill B. FrancisReiwsefiicr Polytechnic Institute, francb0irpi.eduKimberly GleasonFlorida Atlantic University, kgleason^fatueduDelroy M. HunterUniversity of South Florida, dhuntcr(®coba usf.eduCha HDV_engine-efficiency-eval_WVU-rpt_oct2014rles A. MalgwiBentley College, Cnulgwi£bbentley.eduFollow this and additional works at: https://fordham.bepress.com/crif seminar seriesPart of the FinHDV_engine-efficiency-eval_WVU-rpt_oct2014
ance and Financial Management CommonsRecommended CitationFrancis Bill B.; Gleason. Kimberfy: Hunter, Delroy M.; and Malgwi. Chaties A, "Information RiFordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinan HDV_engine-efficiency-eval_WVU-rpt_oct2014erles/11Hus Article is brought to you for free and open access by the Frank J. PetrilU Center for Research m International Finance atIXỹtalRcMMrvhíỊíEotdbum. It bis been accepted for inchuion in CRJF Scmimr MTXS by an authorised administrator of DigitalRewarchii? Fordham.For more information, please HDV_engine-efficiency-eval_WVU-rpt_oct2014 contact conwdinciS>focdhimxdu.Information Risk in the International Currency Markets: Evidence from the Violation of VIRPBill B. FrancisLally SchoolHDV_engine-efficiency-eval_WVU-rpt_oct2014
of Management & Technology Rensselaer Polytechnic Institute 110 8* Street. Troy. NY 12180-8196 (518) 276-3908 (Phone) (518)276-8661 (Fax) francbffl rnFordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinan HDV_engine-efficiency-eval_WVU-rpt_oct2014llege of Business Administration University of South Florida Tampa. FL 33620 (813) 974-6319 (Phone) (813)974-3084 (Fax) dhunter@coba.tisf.edu (e-mail)Charles A. Malgwi Department of Accountancy Bentley College Waltham' NLA 02452 (781) 891-2774 (Phone) (781) 891-2896 (Fax) ( ntalgwi Ơ bentlev.edu (e- HDV_engine-efficiency-eval_WVU-rpt_oct2014mail)' Tins paper was previously circulated as. Currency Order Flow and the Deviation from Interest Rate Parity. We thank seminar participants at theHDV_engine-efficiency-eval_WVU-rpt_oct2014
University of South Florida and the FMA for usefill comments.Information Risk in the International Currency Markets: Evidence from the Violation of I'Fordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinan HDV_engine-efficiency-eval_WVU-rpt_oct2014ize that information risk pi einiuin is an important component of the risk premium that leads Io the violation of uncovered interest rale parity (UIRP). Using an asset juicing model ill which the risk factors arc a world currency factor, a world equity factor, and a world Jirivate information factor HDV_engine-efficiency-eval_WVU-rpt_oct2014, we find that UTRP is violated for 2S single currencies plus the euro and that violation is due Io the existence of a significant time-varying risk JHDV_engine-efficiency-eval_WVU-rpt_oct2014
ircmium. The comjionenl of the risk Jircmium attributable to private information is economically large, statistically significant, and frequently domiFordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinan HDV_engine-efficiency-eval_WVU-rpt_oct2014isk is priced in assets other than equities and in the international financial markets. Together, the factors explain the average currency excess returns (alpha is equal zero) suggesting that, contrary to recent studies, ƯIRP is violated because investors requne a risk premium on then currency depos HDV_engine-efficiency-eval_WVU-rpt_oct2014its. We show that proxies for the country's information envnonment explain the cross-sectional variation of exposures to private information risk.KeywHDV_engine-efficiency-eval_WVU-rpt_oct2014
ords: uncovered interest rate parity, private information, information risk premium. Older flow, currency returnsJEL classification. G12.F31Fordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinanFordham UniversityMasthead LogoDigitalResearch(d)Fordham. r. r. -.....Frank J. Pet r j Hi Center for Research in InternationalcRIF Seminar seriesFinanGọi ngay
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