Investigating sources of unanticipated exposure in industry stock returns

DC FieldValueLanguage
dc.contributor.authorBredin, Donal-
dc.contributor.authorHyde, Stuart-
dc.date.accessioned2010-11-25T14:27:29Z-
dc.date.available2010-11-25T14:27:29Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10197/2596-
dc.description.abstractThis 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 previously 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.en
dc.description.sponsorshipNot applicableen
dc.format.extent265376 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoenen
dc.publisherUniversity College Dublin. School of Business. Centre for Financial Marketsen
dc.relation.ispartofseriesCentre for Financial Markets working paper seriesen
dc.relation.ispartofseriesWP 09 05en
dc.relation.requiresEconomists Online Collectionen
dc.subjectForeign exchangeen
dc.subjectExposureen
dc.subjectInterest ratesen
dc.subjectStock returnsen
dc.subjectInternational financeen
dc.subject.classificationF31en
dc.subject.classificationG15en
dc.subject.lcshForeign exchange ratesen
dc.subject.lcshInterest ratesen
dc.subject.lcshEfficient market theoryen
dc.subject.lcshCapital market--Group of Seven countriesen
dc.subject.lcshInternational financeen
dc.titleInvestigating sources of unanticipated exposure in industry stock returnsen
dc.typeWorking Paperen
dc.internal.availabilityFull text availableen
dc.internal.webversionshttp://www.ucd.ie/bankingfinance/docs/wp/WP-09-05-Bredin-exposure.pdf-
dc.statusNot peer revieweden
dc.neeo.contributorBredin|Donal|aut|-
dc.neeo.contributorHyde|Stuart|aut|-
item.grantfulltextopen-
item.fulltextWith Fulltext-
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