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The role of exchange and interest risk in equity valuation: A comparative study of international stock markets
16 references·16 citing·43 second hopsampled
The role of exchange and interest risk in equity valuation: A comparative study of international stock markets (1995)The role of exchange and interest risk in…Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals (1995)Exchange Risk Sensitivity and…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)Exchange rate exposure and in…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…The Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Intertemporal asset pricing (1990)Intertemporal asset pricingMutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…An equilibrium model of the international capital market (1974)An equilibrium model of the i…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey (2016)The Effect of Credit and Mark…Interest rate changes and stock returns: A European multi-country study with wavelets (2016)Interest rate changes and sto…Interest Rate Sensitivity of S panish Industries: A Quantile Regression Approach (2015)Interest Rate Sensitivity of …Interest rate changes and stock returns in Spain: A wavelet analysis (2014)Interest rate changes and sto…Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK (2013)Interest rate risk and the cr…Exchange rate risk and the equity performance of financial intermediaries (2012)Exchange rate risk and the eq…Oil Risk Exposure: The Case of the U.S. Oil and Gas Sector (2011)Oil Risk Exposure: The Case o…Linear and nonlinear interest rate exposure in Spain (2010)Linear and nonlinear interest…Foreign exchange exposure of US tourism-related firms (2010)Foreign exchange exposure of …Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure (2009)Interest rate risk of German …Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence (2007)Exchange rate exposure, forei…Market integration and currency risk in Asian emerging markets (2006)Market integration and curren…Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate (2006)Interrelationships among stoc…Financial Intermediaries and Interest Rate Risk: II (2006)Financial Intermediaries and …Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns (2000)Time-varying market, interest…Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks (1997)Derivative Exposure and the I…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Exchange Rate Exposure (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Empirical exchange rate models of the seventies (1983)Exposure to Currency Risk: Definition and Measurement (1984)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1994Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect751 cited
  • 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA672 cited
  • 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
  • 1990Intertemporal asset pricing598 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1995Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals386 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection

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360 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
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    • 2006Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate89 cited
    • 2014Interest rate changes and stock returns in Spain: A wavelet analysis71 cited
    • 2000Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns60 cited
    • 1997Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks59 cited
    • 2016The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey59 cited
    • 2006Financial Intermediaries and Interest Rate Risk: II53 cited
    • 2009Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure52 cited
    • 2015Interest Rate Sensitivity of S panish Industries: A Quantile Regression Approach42 cited
    • 2007Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence39 cited
    • 2010Foreign exchange exposure of US tourism-related firms38 cited
    • 2006Market integration and currency risk in Asian emerging markets36 cited
    • 2010Linear and nonlinear interest rate exposure in Spain35 cited
    • 2013Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK35 cited
    • 2012Exchange rate risk and the equity performance of financial intermediaries33 cited