Exposure to Currency Risk: Definition and Measurement

Bernard Dumas

792 citations0/0 files storedFinancial Management

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Risk Management in Financial Firms Global Financial Crisis and Policies Financial Analysis and Corporate Governance

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References

1983International Portfolio Choice and Corporation Finance: A Synthesis

Cited by

2014The Global Crisis and Equity Market Contagion 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA 1991The Pricing of Exchange Rate Risk in the Stock Market 1998The Foreign Exchange Exposure of Japanese Multinational Corporations 2001Exchange Rate Exposure 2001Dynamic relationship between stock prices and exchange rates for G-7 countries 1998Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1 2001International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns

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