Exchange Rate Exposure
基于八个非美国工业化与新兴市场的企业样本，发现12%-23%的企业受汇率波动影响，并检验了汇率选择、市场指数、样本周期等因素对暴露程度的影响。
Finance theory suggests that exposure to foreign markets should have little influence on asset prices in a world with integrated capital markets. In a pooled sample of eight (non-US) industrialized and emerging markets we find that 12-23 % of firms are exposed to exchange rate movements. In robustness checks we find that: (i) the choice of exchange rate matters, and using the trade-weighted exchange rate is likely to understate the extent of exposure, (ii) conditioning on the value-weighted vs. the equally-weighted market index has little effect on estimated exposure, while conditioning on the international index does change the estimate of exposure, (iii) the extent of exposure is not a result of a spurious correlation between random variables with high variances, (iv) exposure increases with the return horizon, (v) within a country and within an industry, exposure coefficients are roughly evenly split between positive and negative values, (vi) averaging across the (absolute value of the) significant exposure coefficients in our sample of countries, we find an exposure coefficient of about 0.5, (vii) the extent of exposure is not sensitive to the sample period, but the set of firms that is exposed does vary over time, and (viii) the sign of the exposure coefficients changes across subperiods for about half of the firms of our