Investigating sources of unanticipated exposure in industry stock returns

Verfasserangabe:  Don Bredin; Stuart Hyde
Jahr: 
Beschreibung:  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
Person:  ;
Umfang:  Online-Ressource (25 S.); graph. Darst.
Schriftenreihe:  Working paper series / UCD Centre for Economic Research ; 10/01Working paper series / UCD Centre for Economic Research ; 10/01
Sprache:  Englisch
Thema:  Wechselkursrisiko; Exchange rate risk; Zins; Interest Rate; Portfolio-Management; Portfolio management; Internationaler Finanzmarkt; International financial market; Kapitalertrag; Return to capital; G-7-Staaten; G-7 countries; 1975-2007
Klassifikation:  jel-F31; jel-G15
Dokumentart (Subkategorien):  Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature
Publikationsform:  Buch / Working Paper
Anmerkungen:  Systemvoraussetzungen: Acrobat Reader
Nachweis aus Datenbank:  ECONIS - Online-Katalog der ZBW
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