caa a22 4500 388047585 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199809 xx s 000 0 eng 10.2307/2331100 doi S0022109000000983 pii (NATIONALLICENCE)cambridge-10.2307/2331100 Is Foreign Exchange Risk Priced in the Japanese Stock Market? [Elektronische Daten] The exchange rate is an important variable that affects international competitiveness and performance of Japanese firms. We use an unconditional and a conditional multi-factor asset pricing model to examine whether exchange risk is recognized and priced in the Japanese stock market. The results indicate that the exchange risk is generally priced in Japan. More specifically, we provide evidence, in the unconditional model, that the exchange risk is priced in both weak and strong yen periods, when the bilateral yen/U.S. dollar exchange rate measure is used. The results are more mixed when the trade-weighted exchange rate is used. For the conditional model, the exchange risk is priced regardless of the exchange rate measure used. The combined evidence from the two models suggests an interesting observation about the role of the secular exchange rate trend in shaping the perception of exchange risk in the Japanese capital markets. Copyright © School of Business Administration, University of Washington 1998 Choi Jongmoo Jay Temple University, School of Business and Management, Finance Department, Philadelphia, PA 19122 Hiraki Takato Graduate School of International Management, International University of Japan, Yamato-machi, Niigata-ken 949-7277, Japan. Takezawa Nobuya Graduate School of International Management, International University of Japan, Yamato-machi, Niigata-ken 949-7277, Japan. Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 361-382 0022-1090 33:3<361 1998 33 JFQ https://doi.org/10.2307/2331100 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331100 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Choi Jongmoo Jay Temple University, School of Business and Management, Finance Department, Philadelphia, PA 19122 NATIONALLICENCE 700 1- Hiraki Takato Graduate School of International Management, International University of Japan, Yamato-machi, Niigata-ken 949-7277, Japan NATIONALLICENCE 700 1- Takezawa Nobuya Graduate School of International Management, International University of Japan, Yamato-machi, Niigata-ken 949-7277, Japan NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 361-382 0022-1090 33:3<361 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge