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Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic
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Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic (2021)Exchange rate exposure in the South Afric…The impact of COVID-19 on emerging stock markets (2020)The impact of COVID-19 on eme…The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19 (2020)The Disease Outbreak Channel …Hourly Oil Price Volatility: The Role of COVID-19 (2020)Hourly Oil Price Volatility: …Has COVID-19 Changed Exchange Rate Resistance to Shocks? (2020)Has COVID-19 Changed Exchange…COVID-19: The Reaction of US Oil and Gas Producers to the Pandemic (2020)COVID-19: The Reaction of US …COVID-19 lockdowns, stimulus packages, travel bans, and stock returns (2020)COVID-19 lockdowns, stimulus …COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020)COVID-19 and the Oil Price – …COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)COVID-19 and the march 2020 s…A Note on the Asian Market Volatility During the COVID-19 Pandemic (2020)A Note on the Asian Market Vo…The exchange rate exposure puzzle (2007)The exchange rate exposure pu…Exchange Rate Exposure (2001)Exchange Rate ExposureThe 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…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Explaining the Variance of Price–Dividend Ratios (1992)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Stock market volatility around national elections (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)The Determinants of Firms' Hedging Policies (1985)Profitability of Momentum Strategies in the International Equity Markets (2000)Are Financial Assets Priced Locally or Globally? (2002)Stock prices and exchange rate dynamics (2005)On the Determinants of Corporate Hedging (1993)An Estimate of the Effect of Common Currencies on Trade and Income (2002)A Decomposition of Global Linkages in Financial Markets Over Time (2004)Resolving the exposure puzzle: The many facets of exchange rate exposure (2009)Offshore Activities and Financial vs Operational Hedging (2014)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Testing for unit roots in heterogeneous panels (2003)The socio-economic implications of the coronavirus pandemic (COVID-19): A review (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)The economics of COVID-19 pandemic: A survey (2021)Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga (2022)Why Does Stock Market Volatility Change Over Time? (1989)A Theory of Friendly Boards (2007)Financial markets under the global pandemic of COVID-19 (2020)Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis (2021)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)The impact of COVID-19 on the stock market crash risk in China (2021)On the Estimation of Security Price Volatilities from Historical Data (1980)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)A new unit root test with two structural breaks in level and slope at unknown time (2010)How do equity markets react to COVID-19? Evidence from emerging and developed countries (2020)Japanese currency and stock market—What happened during the COVID-19 pandemic? (2020)What is the exchange rate volatility response to COVID-19 and government interventions? (2021)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)COVID-19 pandemic and firm performance: Cross-country evidence (2021)The nexus between COVID-19 fear and stock market volatility (2021)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)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 2020COVID-19 and the march 2020 stock market crash. Evidence from S&P1500726 cited
  • 2020The impact of COVID-19 on emerging stock markets675 cited
  • 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
  • 2001Exchange Rate Exposure523 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited
  • 2020COVID-19 lockdowns, stimulus packages, travel bans, and stock returns401 cited
  • 2020Hourly Oil Price Volatility: The Role of COVID-19316 cited
  • 2020COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries245 cited
  • 2020The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19229 cited
  • 2020A Note on the Asian Market Volatility During the COVID-19 Pandemic218 cited
  • 2020Has COVID-19 Changed Exchange Rate Resistance to Shocks?215 cited
  • 2020COVID-19: The Reaction of US Oil and Gas Producers to the Pandemic202 cited

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2007
The exchange rate exposure puzzle
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