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Exchange rate risk in the US stock market
16 references·2 citing·34 second hop
Exchange rate risk in the US stock market (2011)Exchange rate risk in the US stock marketA skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Risk Management: Coordinating…Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Risk Management: Coordinating…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…The Determinants of Firms' Hedging Policies (1985)The Determinants of Firms' He…Optimal Hedging Policies (1984)Optimal Hedging PoliciesInternational Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries (2017)Asymmetric exchange rate expo…The Effect of Macroeconomic Variables on Stock Market Returns in Ghana (2000-2013) (2014)The Effect of Macroeconomic V…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)The Behavior of Stock-Market Prices (1965)On financial contracting (1979)Optimal capital structure under corporate and personal taxation (1980)The investment opportunity set and corporate financing, dividend, and compensation policies (1992)Managerial incentives and risk-taking☆ (2005)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The equity premium: A puzzle (1985)Liquidity Risk and Expected Stock Returns (2003)Organization Capital and the Cross‐Section of Expected Returns (2013)Expectations of Returns and Expected Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)The Cash Flow Sensitivity of Cash (2004)Why Do U.S. Firms Hold So Much More Cash than They Used To? (2009)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985The Determinants of Firms' Hedging Policies3,270 cited
  • 1993Risk Management: Coordinating Corporate Investment and Financing Policies2,897 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1993Risk Management: Coordinating Corporate Investment and Financing Policies962 cited
  • 1984Optimal Hedging Policies939 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1994Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect751 cited
  • 1973

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Studies in the Theory of Capital Markets.
737 cited

Cited by

  • 2017Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries31 cited
  • 2014The Effect of Macroeconomic Variables on Stock Market Returns in Ghana (2000-2013)28 cited