TY  - JOUR
AU  - Dominguez,Kathryn M.E.
AU  - Tesar,Linda L.
TI  - A Re-Examination of Exchange Rate Exposure
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8128
PY  - 2001
Y2  - February 2001
UR  - http://www.nber.org/papers/w8128
L1  - http://www.nber.org/papers/w8128.pdf
N1  - Author contact info:
Kathryn M.E. Dominguez
University of Michigan
Department of Economics and Ford School
Weill Hall
735 South State Street
Ann Arbor, MI 48109
Tel: 734-764-9498
Fax: 734-763-9181
E-Mail: kathrynd@umich.edu

Linda Tesar
Department of Economics
University of Michigan
Ann Arbor, MI  48109-1220
Tel: 734/763 6015
Fax: 734/764-2769
E-Mail: ltesar@umich.edu
AB  - Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has become increasingly with integrated capital markets. Indeed, the existing literature examining the relationship between international stock prices and exchange rates finds little evidence of systematic exchange rate exposure. We argue in this paper that the absence of evidence may be due to restrictions imposed on the sample of data and the empirical specifications used in previous studies.  We study a broad sample of firms in eight countries over an eighteen-year period.  We find that firm-level and industry-level share values are significantly influenced by exchange rates.  Further, we do not find evidence that exchange rate exposure is falling (or becoming less statistically significant) over time. Our results suggest that significant firm, industry and country-specific differences remain even as financial markets become more and more 'integrated'.
ER  -