Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market
研究墨西哥汇率波动和政治风险如何影响个股回报的风险溢价，发现新兴市场股票、货币和主权债券市场存在共同因子，对投资组合管理有参考价值。
We study the impact of exchange rate fluctuations and political risk on the risk premiums reflected in cross-sections of individual equity returns from Mexico, a country that has ex? perienced significant monetary and political turbulence. Indicators from Mexico's currency and sovereign debt markets are employed as proxies for exchange rate and political risks. We find some evidence of equity market premiums for exposure to these risks. The results suggest common factors in emerging market equity, currency, and sovereign debt markets, and have several implications for corporate and portfolio management and for the use of emerging market data by researchers.