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dc.contributor.authorBredin, Donen
dc.contributor.authorHyde, Stuarten
dc.date.accessioned2011-05-05-
dc.date.accessioned2011-10-24T07:56:29Z-
dc.date.available2011-10-24T07:56:29Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/50658-
dc.description.abstractThis 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.en
dc.language.isoengen
dc.publisher|aThe University of Manchester, Manchester Business School |cManchesteren
dc.relation.ispartofseries|aManchester Business School Working Paper |x605en
dc.subject.jelF31en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordforeign exchangeen
dc.subject.keywordexposureen
dc.subject.keywordinterest ratesen
dc.subject.keywordstock returnsen
dc.subject.keywordinternational financeen
dc.titleInvestigating sources of unanticipated exposure in industry stock returns-
dc.typeWorking Paperen
dc.identifier.ppn657394351en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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