Impact of currency risk premium on stock returns
| dc.contributor.author | Chege, Grace Mumbi | |
| dc.date.accessioned | 2017-09-01T09:15:30Z | |
| dc.date.available | 2017-09-01T09:15:30Z | |
| dc.date.issued | 2017 | |
| dc.description | A Research project Submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Finance at Strathmore University | en_US |
| dc.description.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 | en_US |
| dc.identifier.uri | http://hdl.handle.net/11071/5369 | |
| dc.language.iso | en | en_US |
| dc.publisher | Strathmore University | en_US |
| dc.subject | Currency | en_US |
| dc.subject | Stock returns | en_US |
| dc.subject | Premium | en_US |
| dc.subject | Exchange rate | en_US |
| dc.title | Impact of currency risk premium on stock returns | en_US |
| dc.type | Project | en_US |
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