• Login
    View Item 
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSF Research Projects
    • BBSF Research Projects (2017)
    • View Item
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSF Research Projects
    • BBSF Research Projects (2017)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Impact of currency risk premium on stock returns

    Thumbnail
    View/Open
    Full-text (427.3Kb)
    Date
    2017
    Author
    Chege, Grace Mumbi
    Metadata
    Show full item record
    Abstract
    African markets are riddled with occurrences that make it quite difficult to understand the investing environment, especially with the stock markets. Foreign and local investors hence demand greater compensation for unknown and uncertain risks. This research looks at one such major risk, exchange rate risk. The method used is one by Du & Hu (2014) that describes cross sectional returns of the Fama & French (1993) three factor model and adds one more factor of exchange rate sensitivity. The findings show a strong relationship between stock returns and exchange rate sensitivity. More precisely, we are able to determine given the constraints that the market compensates for currency risk for up to 20% of total returns
    URI
    http://hdl.handle.net/11071/5369
    Collections
    • BBSF Research Projects (2017) [10]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of SU+Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV