We show that both return measurement horizon and model specification have noticeable impacts on estimates of exposure from equity prices for U.S. firms. While increases in the return horizon leads to increases in the precision of the estimates, this effect is less significant than the impact of...

From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...

From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...

From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...

We show that both return measurement horizon and model specification have noticeable impacts on estimates of exposure from equity prices for US firms. While increases in the return horizon lead to increases in the precision of the estimates, this effect is less significant than the impact of...