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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies |
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| Institution | University of Zurich |
| Series Name | Working paper series / Institute for Empirical Research in Economics |
| Number | No. 340 |
| ISSN | 1424-0459 |
| Date | 2007 |
| Abstract Text | Lagged foreign stock returns in excess of the U.S. stock market return are informative aboutnquarterly exchange rate movements. A past high foreign stock return relative to the U.S. signals a foreign currency depreciation and hence low returns on the foreign currency.nConditional on stock return differentials, the consumption-based CAPM (CCAPM) explains the cross-sectional dispersion in U.S. dollar exchange rates. The CCAPM captures more than 40 percent of the variation in foreign currency returns scaled with the respective stock returnndifferential on a country-by-country basis. |
| Official URL | http://www.econ.uzh.ch/wp.html |
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