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• W2086846417 abstract "This study investigates the impact of first- and second-moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first-moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant exposures are asymmetric. When the model utilizes one-day lags, 42.2% of the cases are significant and 79.0% are asymmetric. Regarding second-moment exposure, the financial sector displays pervasive sensitivity to exchange rate volatility when using contemporaneous and lagged models. This result is reasonable, assuming that revenues from the sale of derivative products increase with currency volatility." @default.
• W2086846417 created "2016-06-24" @default.
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• W2086846417 date "2003-08-01" @default.
• W2086846417 modified "2023-09-25" @default.
• W2086846417 title "First- and Second-Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns" @default.
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• W2086846417 doi "https://doi.org/10.1111/1540-6288.00055" @default.
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