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Investigating sources of unanticipated exposure in industry stock returns

Don Bredin; Stuart Hyde

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... Full description

Year of Publication: 2010
Authors: Bredin, Don; Hyde, Stuart
Physical Description: Online-Ressource (25 S.)
graph. Darst.
Series: Working paper series / UCD Centre for Economic Research ; 10/01
Language: English
Subjects: Währungsrisiko | Exchange rate risk | Zins | Interest rate | Portfolio-Management | Portfolio selection | Internationaler Finanzmarkt | International financial market | Kapitaleinkommen | Capital income | G8-Staaten | G8 countries | 1975-2007
Classification: jel-F31; jel-G15
Genres: Arbeitspapier
Working Paper
Graue Literatur
Non-commercial literature
Type of Publication: Book / Working Paper
Notes: Systemvoraussetzungen: Acrobat Reader
Title record from database: ECONIS - Online Catalogue of the ZBW
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Summary: 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 reviously 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. -- Foreign exchange ; exposure ; interest rates ; stock returns ; international finance
Item Description: Systemvoraussetzungen: Acrobat Reader
Physical Description: Online-Ressource (25 S.)
graph. Darst.
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