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dc.contributor.authorBredin, Donen_US
dc.contributor.authorHyde, Stuarten_US
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_US
dc.publisher|aManchester Business School |cManchesteren_US
dc.relation.ispartofseries|aManchester Business School working paper |x605en_US
dc.subject.keywordforeign exchangeen_US
dc.subject.keywordinterest ratesen_US
dc.subject.keywordstock returnsen_US
dc.subject.keywordinternational financeen_US
dc.titleInvestigating sources of unanticipated exposure in industry stock returnsen_US
dc.typeWorking Paperen_US

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