This study empirically examines how exchange rate shocks affect firms' competitiveness in the small, export-oriented country of Finland. Specifically, using Sweden as a benchmark and controlling for cross-country sector and industry effects, the Forex competition hypothesis is tested using the...

This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and hetersoskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative...

This study investigates the presence of exchange rate exposure of stock returns in sector based portfolios of the Finnish stock market. The traditional exposure model is extended to allow for the possibility of asymmetric behavior in the exposure pattern as well as the presence of second moment...

This paper tests the hypothesis that the market portfolio in European equity returns is a dynamic factor in the sense that individual stock return volatilities and risk premia are driven by the dynamics of a common dynamic factor namely, the market portfolio. Support for the hypothesis would...

Previous studies find only a weak relationship between inflation news and stock market returns. We show that significant daily market reactions to different types of inflation shocks occur in dynamic economic states. Also, although previous work has not examined longer-run market reactions, our...

The paper applies a Factor-GARCH model to evaluate the impact of the market portfolio, as a single common dynamic risk factor, on conditional volatility and risk premia for the returns on size-based equity portfolios of three major European markets; France, Germany and the United Kingdom. The...