RMB exchange rate volatility and the cross-section of Chinese A-share returns

被引：1
|
作者：
Qiao, Tongshuai [1 ]
Ding, Wenjie [2 ]
Han, Liyan [1 ,3 ]
Li, Donghui [4 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
[2] Sun Yat Sen Univ, Business Sch, Shenzhen, Peoples R China
[3] Yanqi Lake Beijing Inst Math Sci & Applicat, Digital Econ Lab, Beijing 101408, Peoples R China
[4] Shenzhen Univ, Coll Econ, Shenzhen, Peoples R China
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2024年 / 142卷
基金：
中国国家自然科学基金;
关键词：
RMB exchange rate volatility; Chinese A-shares; Cross-section of stock returns; Asset pricing; RATE RISK; PRICES; EQUILIBRIUM; EXPOSURE; MODEL; UNCERTAINTY; BEHAVIOR; STOCKS; BOND;
D O I：
10.1016/j.jimonfin.2024.103024
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the role of RMB exchange rate volatility in the cross-sectional pricing of Chinese A-share stocks. We find an inverted U-shaped relation between stock beta-loading on exchange rate volatility (FXV-beta) and future stock returns; that is, both stocks with high FXVbeta and those with low FXV-beta have lower future returns. We show that the underperformance of high-FXV-beta stocks is primarily driven by hedging demand. Specifically, to hedge exchange rate volatility risk, rational investors are willing to pay higher prices for high-FXV-beta stocks and accept lower future returns. We also provide evidence that the underperformance of low-FXVbeta stocks could be due to mispricing dominated by lottery investors.
引用
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页数：19
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