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Article

Валютный риск и теория ценообразования активов

Корпоративные финансы. 2013. Т. 28. № 4. С. 114-124.

A large number of research papers on relation between currency risk and firms’ value have  been published during last several decades. Researches acknowledged that currency risk could be a  pricing factor. We follow models’ developments under the framework of asset pricing theory and  come to a conclusion that dynamic and asymmetric international asset pricing models were  considered among the best for capturing exposure to exchange rate risk in developed and emerging  markets.  Exchange rate exposure became a separate topic of research. Different determinants  of exposure were discovered in the literature. Economists estimated their influence on sensitivity of  stock returns to currency volatility.  There is certain specific in currency exposure research. In this paper we considered  different methodological aspects of exchange rate exposure modelling and mentioned details  of empirical analysis in emerging markets.