Arbeitspapier
Investigating sources of unanticipated exposure in industry stock returns
This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with the prior literature: that there is little evidence of exchange rate exposure in most industries - the exchange rate exposure puzzle. However, rather than relying solely on the sensitivity of industry returns, we examine the cash flow sensitivity to foreign exchange exposure, of primary interest to firm managers. Critically, decomposing the exposure into cash flow and discount rate components unlocks the exact extent and nature of exposure. Our results show industries have significant cash flow and discount rate exposures. These exposures increase with the level of trade openness and the spread between permanent cash flow exposure and transitory discount rate exposure widens.
- Sprache
-
Englisch
- Erschienen in
-
Series: Manchester Business School Working Paper ; No. 605
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Financial Markets
- Thema
-
foreign exchange
exposure
interest rates
stock returns
international finance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bredin, Don
Hyde, Stuart
- Ereignis
-
Veröffentlichung
- (wer)
-
The University of Manchester, Manchester Business School
- (wo)
-
Manchester
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bredin, Don
- Hyde, Stuart
- The University of Manchester, Manchester Business School
Entstanden
- 2010
Ähnliche Objekte (12)
Dioxin '92, Vol. 9.. Sources of exposure
Investigating the return cost for B2C e-commerce
Investigating the return cost for B2C e-commerce
Large Radiation Sources in industry, 2
Horizontal industry relationships and return predictability
Counting returns in the newspaper industry
Horizontal industry relationships and return predictability
Large Radiation Sources in industry, Vol. 1
Sources of return in the index futures markets
Investigating new sources of information and nonlinearities on financial markets
Return and volatility spillovers to industry returns: does EMU play a role?
Return and volatility spillovers to industry returns: Does EMU play a role?
Dioxin '92, Vol. 9.. Sources of exposure
Investigating the return cost for B2C e-commerce
Investigating the return cost for B2C e-commerce
Large Radiation Sources in industry, 2
Horizontal industry relationships and return predictability
Counting returns in the newspaper industry
Horizontal industry relationships and return predictability
Large Radiation Sources in industry, Vol. 1
Sources of return in the index futures markets
Investigating new sources of information and nonlinearities on financial markets
Return and volatility spillovers to industry returns: does EMU play a role?
Return and volatility spillovers to industry returns: Does EMU play a role?
Dioxin '92, Vol. 9.. Sources of exposure
Investigating the return cost for B2C e-commerce
Investigating the return cost for B2C e-commerce
Large Radiation Sources in industry, 2
Horizontal industry relationships and return predictability
Counting returns in the newspaper industry
Horizontal industry relationships and return predictability
Large Radiation Sources in industry, Vol. 1
Sources of return in the index futures markets
Investigating new sources of information and nonlinearities on financial markets
Return and volatility spillovers to industry returns: does EMU play a role?