Investigating sources of unanticipated exposure in industry stock returns

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dc.contributor.author Bredin, Donal
dc.contributor.author Hyde, Stuart
dc.date.accessioned 2010-11-25T14:27:29Z
dc.date.available 2010-11-25T14:27:29Z
dc.date.issued 2009
dc.identifier.uri http://hdl.handle.net/10197/2596
dc.description.abstract This paper investigates the degree of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7. Our paper draws on the efficient market hypothesis and examines the extent of unexpected foreign exchange (and interest rate) exposure rather than the standard approach of focusing purely on the change in foreign exchange (and interest rate) exposure. The results from our baseline regressions are consistent with those previously found in the literature that there is little evidence of exchange rate exposure in most markets - this is the exchange rate exposure puzzle. The second critical element of our analysis is that we investigate the sources of the exposure and examine the existence of indirect levels of both foreign exchange and interest rate exposure. The findings of exposure to foreign exchange rates and interest rates are extensive for industry sectors in the G7 economies when we take account of the possible channels of influence. Results indicate key differences between countries in terms of the relative importance of these cash flow and discount rate channels. en
dc.description.sponsorship Not applicable en
dc.format.extent 265376 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP 09 05 en
dc.relation.requires Economists Online Collection en
dc.subject Foreign exchange en
dc.subject Exposure en
dc.subject Interest rates en
dc.subject Stock returns en
dc.subject International finance en
dc.subject.classification F31 en
dc.subject.classification G15 en
dc.subject.lcsh Foreign exchange rates en
dc.subject.lcsh Interest rates en
dc.subject.lcsh Efficient market theory en
dc.subject.lcsh Capital market--Group of Seven countries en
dc.subject.lcsh International finance en
dc.title Investigating sources of unanticipated exposure in industry stock returns en
dc.type Working Paper en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/WP-09-05-Bredin-exposure.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut| en
dc.neeo.contributor Hyde|Stuart|aut| en


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