Article2012

Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets

102 citations0/0 files storedJournal of International Money and Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk Management in Financial Firms

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2000Foreign Speculators and Emerging Equity Markets 1992On the Estimation of Beta-Pricing Models 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 1990The Exchange-Rate Exposure of U.S. Multinationals 2001Exchange rate exposure, hedging, and the use of foreign currency derivatives 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk 1984Exposure to Currency Risk: Definition and Measurement

Cited by

2012Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns 2020Exchange rate exposure and its determinants in China 2014Foreign exchange rate exposure: evidence from Canada 2017Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets 2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news 2016Dynamic interactions between stock markets and the real economy

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