01787cas a2200253 a 4500 AALejournalIMF004305 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451864540 1018-5941 BD-DhAAL BD-DhAAL Merritt, Matthew. Currency Risk Premia in Global Stock Markets / Matthew Merritt, Shaun Roache. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (27 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption. Mode of access: Internet Roache, Shaun. IMF Working Papers; Working Paper ; No. 2006/194 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/194/001.2006.issue-194-en.xml IMF e-Library