{"id":1067,"date":"2018-06-22T20:12:16","date_gmt":"2018-06-22T20:12:16","guid":{"rendered":"https:\/\/nau.edu\/franke\/?page_id=1067"},"modified":"2022-11-29T01:46:57","modified_gmt":"2022-11-29T01:46:57","slug":"long-run-component-foreign-exchange-volatility-stock-returns","status":"publish","type":"page","link":"https:\/\/in.nau.edu\/college-business\/faculty-resources\/faculty-research\/long-run-component-foreign-exchange-volatility-stock-returns\/","title":{"rendered":"Working paper series: Exchange Volatility"},"content":{"rendered":"<div class=\"nau-block nau-block-left-nav-top-bound\">\n    \t<button id=\"left-nav-toggle-btn\" onclick=\"toggleNav();\">\n\t\tON THIS PAGE \n\t\t<i id=\"chevron-icon\" class=\"fas fa-solid fa-chevron-down\"><\/i>\n\t<\/button>\n\t<div id=\"left-nav-menu-track\">\n\t\t<div id=\"left-nav-wrapper\">\n\t\t\t<div class=\"rfi-above-anchor-tags\">\n\t\t\t\t<div class=\"ri-container\">\n\t\t\t\t\t<a href=\"https:\/\/nau.edu\/admissions\/request-information\/\" id=\"request-info\" class=\"btn bg-true-blue left-nav-menu-bottom-button display-mobile\">Request info&nbsp;&nbsp;<\/a>\t\t\t\t<\/div>\n\t\t\t<\/div>\n\t\t\t<div id=\"left-nav-menu\">\n\t\t\t\t<div class=\"menu-section menu-section-links\"><h6 class=\"hidden-mobile left-nav-list-header\">ON THIS PAGE<\/h6><ul class=\"left-nav-menu-list on-this-page\">\t\t\t\t\t\t\t\t<li><a href=\"https:\/\/in.nau.edu\/college-business\/faculty-resources\/faculty-research\/long-run-component-foreign-exchange-volatility-stock-returns\/#wps\" title=\"WPS 14-02\">WPS 14-02<\/a><\/li>\n\t\t\t\t\t\t\t<\/ul><div class=\"ri-container\"><a href=\"https:\/\/nau.edu\/admissions\/request-information\/\" id=\"request-info\" class=\"btn bg-true-blue left-nav-menu-bottom-button display-mobile\">Request info&nbsp;&nbsp;<\/a><\/div><\/div>\t\t\t\t\t\t\t\t<div class=\"menu-section backcolor\">\n\t\t\t\t\t<div class=\"header\">\n\t\t\t\t\t\tHOW CAN WE HELP?\t\t\t\t\t<\/div>\n\t\t\t\t\t<ul class=\"responsive-icons\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<li><a href=\"tel:928-523-3657\"><img decoding=\"async\" src=\"https:\/\/in.nau.edu\/wp-content\/themes\/nau-marketing-2021\/img\/icon-phone.svg\" alt=\"Telephone:\"> 928-523-3657<\/a>\n\t\t\t\t\t\t<\/li>\n\t\t\t\t\t\t\t\t\t\t\t\t<li><a href=\"mailto:fcb@nau.edu\"><img decoding=\"async\" src=\"https:\/\/in.nau.edu\/wp-content\/themes\/nau-marketing-2021\/img\/icon-email.svg\" alt=\"Email:\"><span class=\"left-nav-email\"> fcb&#8203;@nau.edu <\/span><\/a><\/li>\n\t\t\t\t\t<\/ul>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\n\t\t\t<\/div>\n\t\t<\/div>\n\t<\/div>\n<\/div>\n\n<section class=\"nau-block left-nav-section\"><header class=\"entry-header\"><div class=\"breadcrumb\"><ol class=\"breadcrumbs\"><li><a href=\"https:\/\/in.nau.edu\">IN<\/a><span class=\"breadcrumb-chevron\" aria-hidden=\"true\">&gt;<\/span><\/li><li><a href=\"https:\/\/in.nau.edu\/college-business\">College Business<\/a><span class=\"breadcrumb-chevron\" aria-hidden=\"true\">&gt;<\/span><\/li><li class=\"current\">Pages<\/li><\/ol><\/div><h1 class=\"entry-title text-left \">Working paper series: Exchange Volatility<\/h1><hr class=\"h1-hr  text-left \" role=\"none\"><\/header><!-- .entry-header --><\/section><!-- <section class=\"nau-block left-nav-section grid-md-12\">\n    <header class=\"entry-header\">\n        <h1 class=\"entry-title text-left \" tabindex=\"0\" id=\"h1-first\">Dummy H1<\/h1>\n        <hr class=\"h1-hr  text-left \" role=\"none\">\n    <\/header>\n<\/section> -->\n\n<section class=\"nau-block left-nav-section grid-md-12\">\n    <div class=\"page-content\">\n        \n\n<h2 class=\"wp-block-heading\" id=\"wps\">The Long-Run Component of Foreign Exchange Volatility and Stock Returns<\/h2>\n\n\n\n<p>Posted April 2014<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">Authors<\/h3>\n\n\n\n<p><strong>Ding Du<br>Ou Hu<\/strong><\/p>\n\n\n\n\n\n\n\n<h3 class=\"wp-block-heading\">Abstract<\/h3>\n\n\n\n<p>The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov, Bodnar, and Kaul (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.<\/p>\n\n\n\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button\"><a class=\"wp-block-button__link\" href=\"https:\/\/legacy.nau.edu\/wp-content\/uploads\/sites\/80\/2018\/04\/Du_LongRunComp-ForeignExchVol-StockRet.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Download full working paper (PDF)<\/a><\/div>\n<\/div>\n\n\n\n\n\n\n    <\/div>\n<\/section>\n\n<div class=\"nau-block nau-block-left-nav-bottom-bound\">\n\n<\/div>","protected":false},"excerpt":{"rendered":"","protected":false},"author":645,"featured_media":10419,"parent":149,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_acf_changed":false,"_relevanssi_hide_post":"","_relevanssi_hide_content":"","_relevanssi_pin_for_all":"","_relevanssi_pin_keywords":"","_relevanssi_unpin_keywords":"","_relevanssi_related_keywords":"","_relevanssi_related_include_ids":"","_relevanssi_related_exclude_ids":"","_relevanssi_related_no_append":"","_relevanssi_related_not_related":"","_relevanssi_related_posts":"","_relevanssi_noindex_reason":"","_oasis_is_in_workflow":0,"_oasis_original":0,"_oasis_task_priority":"","ring_central_script_selection":"","footnotes":""},"class_list":["post-1067","page","type-page","status-publish","has-post-thumbnail","hentry"],"acf":[],"_links":{"self":[{"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/pages\/1067","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/users\/645"}],"replies":[{"embeddable":true,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/comments?post=1067"}],"version-history":[{"count":13,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/pages\/1067\/revisions"}],"predecessor-version":[{"id":10750,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/pages\/1067\/revisions\/10750"}],"up":[{"embeddable":true,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/pages\/149"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/media\/10419"}],"wp:attachment":[{"href":"https:\/\/in.nau.edu\/college-business\/wp-json\/wp\/v2\/media?parent=1067"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}