This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

We estimate the Dollar exposure of German DAX corporations. Our results are based on a new time-variant, APT-based and panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990). Our stock market data consist of 28 performance...