Foreign exchange exposure and the pricing of currency risk in equity returns: Some Australian evidence

Adler, 1984, Exposure to currency risk: Definition and measurement, Financial Management, 13, 41, 10.2307/3665446 Chen, 1986, Economic forces and the stock market, Journal of Business, 59, 383, 10.1086/296344 Chiang, 1991, International asset pricing and equity market risk, Journal of International Money and Finance, 10, 349, 10.1016/0261-5606(91)90015-C Choi, 1986, A model of firm valuation with exchange exposure, Journal of International Business Studies, 17, 153, 10.1057/palgrave.jibs.8490430 Choi, 1992, The sensitivity of bank stock returns to market, interest and exchange rate risks, Journal of Banking and Finance, 16, 983, 10.1016/0378-4266(92)90036-Y Connor, 1986, Performance measurement with the arbitrage pricing theory: A new framework for analysis, Journal of Financial Economics, 15, 373, 10.1016/0304-405X(86)90027-9 Doan, 1992, RATS user's manual Durbin, 1950, Testing for serial correlation in least squares regression, Biometrika, 37, 409 Fama, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy, 81, 607, 10.1086/260061 Flood, 1986, On the measurement of operating exposure to exchange rates: A conceptual approach, Financial Management, 15, 25, 10.2307/3665275 Gupta, 1992, The currency risk factor in international equity pricing, Review of Quantitative Finance and Accounting, 2, 245, 10.1007/BF00586437 Hodder, 1982, Exposure to exchange-rate movements, Journal of International Economics, 13, 375, 10.1016/0022-1996(82)90065-4 Jorion, 1990, The exchange rate exposure of U.S. multinationals, Journal of Business, 63, 331, 10.1086/296510 Jorion, 1991, The pricing of exchange rate risk in the stock market, Journal of Financial and Quantitative Analysis, 26, 363, 10.2307/2331212 Korajczyk, 1989, An empirical investigation of international asset pricing, The Review of Financial Studies, 2, 553, 10.1093/rfs/2.4.553 Ljung, 1978, On a measure of lack of fit in time series models, Biometrika, 67, 297, 10.1093/biomet/65.2.297 Newey, 1987, A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Parks, 1967, Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated, Journal of the American Statistical Association, 62, 500, 10.2307/2283977 Reserve Bank of Australia, The Bulletin, Various issues. Ross, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13, 341, 10.1016/0022-0531(76)90046-6 White, 1980, A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity, Econometrica, 48, 817, 10.2307/1912934 Zellner, 1962, An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias, Journal of the American Statistical Association, 57, 348, 10.2307/2281644