The Pricing of Exchange Rate Risk in the Stock Market
用因子模型检验美国股市中汇率风险的定价，发现行业间股票回报与美元价值的关系有差异，但汇率风险并未被定价，外汇敞口的风险溢价很小且不显著。
This paper examines the pricing of exchange rate risk in the U.S. stock market, using two factor and multi-factor arbitrage pricing models. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries. The empirical results, however, do not suggest that exchange risk is priced in the stock market. The unconditional risk premium attached to foreign currency exposure appears to be small and never significant. As a result, active hedging policies by financial managers cannot affect the cost of capital, and other reasons must explain why firms decide to hedge.