Using a single-factor Global CAPM (GCAPM) and a two-factor International CAPM (InCAPM), we study the effect of foreign exchange (FX) exposure on the term structure of industry cost of equity of 39 U.S. industries. Following Ang and Liu (2004), we estimate the term structure of industry expected...

For US firms with extreme foreign exchange (FX) exposure levels, we ask whether the single-factor global capital asset pricing model (CAPM) yields significantly different cost of equity estimates from the local CAPM. For a sample of US firms from 2000 to 2007, we find a clear and statistically...

For U.S. firms with extreme foreign exchange (FX) exposure levels, we ask whether the single-factor global CAPM yields significantly different cost of equity estimates from the local CAPM. For a sample of U.S. firms from 2000-2007, we find a clear and statistically significant relation between...

For US firms with extreme foreign exchange (FX) exposure levels, we ask whether the single-factor global capital asset pricing model (CAPM) yields significantly different cost of equity estimates from the local CAPM. For a sample of US firms from 2000 to 2007, we find a clear and statistically...