Which of Statements A) Through D) Concerning Jorion's "The Pricing

question 24

Multiple Choice

Which of statements a) through d) concerning Jorion's "The Pricing of Exchange Rate Risk in the Stock Market" [Journal of Financial and Quantitative Analysis 1991] multi-factor analysis of currency risk is FALSE?

• A) Exchange rate risk is diversifiable and is not priced in the stock market.
• B) The exchange rate factor is subsumed into Chen, Roll and Ross's ["Economic forces and the stock market," Journal of Business 1986] five macroeconomic factors.
• C) The exchange rate factor is subsumed into the market index when the market index is added to the exchange rate factor.
• D) There is little cross-sectional variation in the exchange rate exposure of individual firms and industries.
• E) All of the above are true.

---

Definitions:

HTML Tag

Codes used to structure a webpage and its content, indicating how different elements should be displayed in web browsers.

Linkwheels

A strategy in search engine optimization (SEO) using a series of websites or pages linked to each other to increase the visibility of a central website.

Web Properties

Websites, web pages, and all online assets owned or controlled by an individual or organization.

Meta Tag

Snippets of text that describe a page’s content; important for SEO, they help search engines understand what the webpage is about.