Koutmos, Gregory; Martin, Anna D. - In: The Financial Review 38 (2003) 3, pp. 455-471
This study investigates the impact of first- and second-moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first-moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant...