A Comparison of FX Exposure Estimates with Different Control Variables

We compare the FX exposure estimates of four empirical models that differ only in the choice of control variable. We use a large sample of U.S. 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

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Year of publication:	2014
Authors:	Krapl, Alain A.
Other Persons:	O'Brien, Thomas J. (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Vergleich \| Comparison

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