Measuring the economic importance of exchange rate exposure

By Craig Doidge, John M. Griffin, Rohan Williamson. 2006

158 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/3ecb9cb5fbf8b6d4d45074ed7f4ef82a37cd8890

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Söhnke M. Bartram
2. Kevin Aretz
3. Raj Aggarwal
4. P. Pope
5. J. Harper
6. Martin Walker
7. Amir Habibdoust
8. Patrick M. Crowley

In Economics and Econometrics

1. Chun-Pin Hsu
2. Raj Aggarwal
3. P. Pope
4. Chin-Wen Huang
5. Wan-Jiun Paul Chiou
6. Kevin Aretz
7. Söhnke M. Bartram

Citations in the corpus

• Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets (2012, background): “Doidge, Griffin, and Williamson (2006) report that, during periods of large currency depreciations, firms with high international sales generate higher stock returns than firms with no (low) international sales.”
• Foreign Exchange Exposure of ‘Domestic’ Corporations (2010, result): “Interestingly, this is contrary to the findings of Doidge et al. (2006) for multinational companies.”
• Macroeconomic risks and characteristic-based factor models (2010, methodology): “We create one-way sorted characteristic portfolios analogous to Fama and French (1993). In particular, we observe the BM decile breakpoints in December of year t−1 and the size decile breakpoints and the prior eleven month compounded return (momentum) breakpoints in June of year t.”
• The exchange rate exposure puzzle (2005, unknown): “Doidge et al. (2006) provide a comprehensive global analysis of the exchange rate exposure of over 17,929 firms from countries in Europe, Asia and North America.”
• Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets (2012, unknown): “…of research on this broad question looks at the sensitivity between exchange rate changes as stock return and focuses on estimating exposures (e.g., Doidge, Griffin, and Williamson, 2006; Dominguez and Tesar (2006), Allayannis and Ihrig, 2001; Williamson, 2001; He and Ng, 1998; Chi and Prassad…”
• Emerging market exchange rate exposure (2008, unknown): “This procedure is suggested by Doidge et al. (2006), so that the betas that are estimated more precisely in”