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回报与美元汇率变化无显著相关，但滞后汇率变化能解释当前异常回报，表明存在错误定价，并基于此构建交易策略获得显著收益。
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.