Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

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International Real Estate Returns: A Multifactor, Multicountry Approach (2003, unknown): “Beginning with the international CAPM of Solnik (1974), research has concentrated on the specification of returns-generating models of market equilibrium that include factors such as currency risks (Adler and Dumas, 1983) and inflation risks (Vassalou, 2000).”
Macroeconomic risks and characteristic-based factor models (2010, methodology): “Prior evidence indicates that both factors are related to equity returns (see, e.g., Doidge et al., 2006; Vassalou, 2000; Jorion, 1991).”
Are the East Asian Markets Integrated: Evidence from the ICAPM (2003, background): “Since expected returns are influenced by expected real activity (e.g.,Vassalou, 2000), variables that forecast expected real activity should also forecast equity returns.”
Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets (2012, result): “The results of most of these studies, however, do not present clear evidence for the existence of an unconditional premium for exchange rate exposure (e.g., Roache and Merritt, 2006; Vassalou, 2000; Prasad and Rajan, 1995; Gupta and Finnerty, 1992; Jorion, 1991).”