Is currency factor important for global portfolios

  title={Is currency factor important for global portfolios},
  author={Ines Chaieb and Vihang Errunza and Basma Majerbi},
We investigate whether cross-country diversification, particularly into emerging markets, has an impact on the pricing of exchange risk for globally diversified portfolios. Our empirical tests based on a conditional IAPM show that the price of exchange risk is highly significant in global sector portfolios that include only developed countries. In contrast, when we include emerging markets with the developed market assets, the hypothesis of zero price of exchange risk cannot be rejected. Also… CONTINUE READING

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