Kolari et al. (2008) show that exchange rate risk measured by contemporaneous exchange rate changes is priced in the US stock market. However, by construction, their exchange rate risk factor has a strong correlation with the size factor, and their exchange rate sensitivity portfolios have a...

The insignificance of currency risk in emerging markets is particularly puzzling, given a lack of hedging instruments and volatile currency movements in these markets. In this paper, we conjecture that this puzzle may be due to the comovement between exchange rates and the market factor in these...

In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous studies. We propose to correct the bias with the quantile regression technique invented by Koenker and Bassett (Econometrica 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into...</citationref>