| dc.description.abstract | We study exchange rate risk compensation in international ETFs from the perspective of a
U.S. investor by using the Dollar and Carry currency risk factors. We find that U.S. investors
are compensated for taking currency risk. In particular, when we estimate risk factor loadings
conditionally, using 60-month rolling windows, in the sample period between January 1997
and June 2015, taking an additional unit of Dollar risk is associated with 0.94 percentage points
more excess return per annum, while an additional unit of Carry risk is associated with an
increase in excess return of 4.74 percentage points per annum. | nb_NO |
