Firm Valuation, Earnings Expectations, and the Exchange‐Rate Exposure Effect
研究发现，有国际业务的公司股票异常收益与美元汇率变化的相关性不显著，但滞后汇率变化能解释当前异常收益，表明存在错误定价，且基于此的交易策略可获超额收益。
ABSTRACT Consistent with previous research, we fail to find a significant correlation between the abnormal returns of our sample firms with international activities and changes in the dollar. We investigate the possibility that this failure is due to mispricing. Lagged changes in the dollar are a significant variable in explaining current abnormal returns of our sample firms, suggesting that mispricing does occur. A simple trading strategy based upon these results generates significant abnormal returns. Corroborating evidence from returns around earnings announcements as well as errors in analysts' forecasts of earnings is also provided.