Currency risk exposure and the presidential effect in stock returns

28 Pages Posted: 20 Jul 2020 Last revised: 21 Sep 2020

See all articles by Samar Ashour

Samar Ashour

University of Arkansas

David A. Rakowski

University of Texas at Arlington

Salil K. Sarkar

University of Texas at Arlington - College of Business Administration

Date Written: September 18, 2020

Abstract

We explore how the US presidential effect in stock prices is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results show that the existence of a presidential effect in stock returns depends on how a firm’s stock returns are associated with changes in the value of the US dollar. We document that a complex association exists between presidential effects in stock returns, stock risk premiums, macro-economic variables, and the foreign exchange market.

Keywords: US dollar; foreign exchange markets; Presidential cycles; politics and finance.

JEL Classification: F310; F400; G150; G180; E650; P480

Suggested Citation

Ashour, Samar and Rakowski, David A. and Sarkar, Salil K., Currency risk exposure and the presidential effect in stock returns (September 18, 2020). Available at SSRN: https://ssrn.com/abstract=3498617 or http://dx.doi.org/10.2139/ssrn.3498617

Samar Ashour

University of Arkansas ( email )

Fayetteville, AR 72701
United States
4795754505 (Phone)

David A. Rakowski (Contact Author)

University of Texas at Arlington ( email )

Box 19449 UTA
Arlington, TX 76019
United States

Salil K. Sarkar

University of Texas at Arlington - College of Business Administration ( email )

Arlington, TX
United States

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