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Yi to present paper at international meeting
Friday, October 14, 2016

Yi to present paper at international meeting

Dr. Taihyeup Yi

Associate professor of Finance Taihyeup Yi of the Department of Business Administration will present his paper, “Uncovered Equity Parity: Theory and Evidence from the G-7,” at the Financial Management Association International’s annual meeting in Las Vegas.

Dr. Yi’s paper focuses on maximization of the expected utility of discounted intertemporal consumption. He noted that due to this, the consumption risk becomes a prime factor underlying the uncovered equity parity (UEP). UEP makes it so the expected change in the exchange rate is assumed to vary in an equal but opposite direction to the difference in the domestic and foreign equity rates of return.

In his paper, Yi examines the case of United States investors acquiring equity in the G-7 countries – which are among the world’s largest industrial nations – and provides results for the sample period between January 1971 to December 2013 as well as two sub-periods of pre-Euro, before the Euro became the official currency of 11 member states of the European Union in 1999, and post-Euro, when the Deutsche mark, French franc and Italian lira were no longer circulated, in 2002.

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