Dijk, M.A. van

exchange market exchange rates country stock return panel model journal sample price result table capital liquidity factor value reversion fi rms effect currency power period study euro area pricing error finance parameter asset hypothesis methodology exchange rate estimate paper evidence size effect signi inflation japan unit root level commonality canada corruption number reversion parameters regression icapm 0.000 pricing error series equity trading difference exchange rate risk portfolio / journal measure transparency power functions multifactor icapm unit root hypothesis stock returns investor statistic estimation variable inflation risk index power parity estate exposure cross-listing reversion parameter ficant equation ficient sample period company