Pricing of foreign exchange rate and interest rate risks using short to long horizon returns

In this paper, we test whether foreign exchange (FX) rate and interest (IR) risks are priced at short to long return horizons. We also the associated risk premia relate certain stock characteristics. Our new evidence indicates that increase with length of horizon premium signs depend on sign corresponding exposure beta. Thus, for our longest 950 days, positive (negative) FX in absolute value 2.642% (–2.050%), whereas IR 1.039% (–1.151%). Zero betas have zero premia. find that, depending level profitability, Size, book-to-market-ratio (B/M) sales-to-stock price ratio (S/P) explain most variation results imply investors view as important factors affecting portfolio returns.