Jorion ["The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, 1991] found that the currency exposures of U.S.-based corporations caused currency risk to be priced into required returns in U.S. stock markets.

Question

Quizplus · Accepted Answer

Although there is considerable cross-sectional variation among US-based firms, Jorion found currency risk is not priced into (that is, does not affect) required returns in the U.S. stock market.