A comparison of FX exposure estimates with different control variables
We compare the foreign exchange (FX) exposure estimates of four empirical models that differ only in the choice of control variable. We use a large sample of US equities (19 100) over a long time span (1980--2011). We find a much higher percentage of statistically significant FX exposure estimates with a bond return control variable than with a broad equity index. We also find that the FX exposure estimates with no control variable are close to those for the bond return control variable, and the estimates with Fama--French factor control variables are close to those with the equity index.
Year of publication: |
2014
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Authors: | Krapl, Alain ; O'Brien, Thomas J. |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 24.2014, 6, p. 437-451
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Publisher: |
Taylor & Francis Journals |
Saved in:
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