Du, Ding; Ng, Pin; Zhao, Xiaobing - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 549-566
In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous … variable bias as well as time variation in currency exposure, we find that 26 out of 30 or 87 % of the US industry portfolios … 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into account the missing …