Purpose–Based on basic financial models and reports in the business press, exchange rate
movements are generally believed to affect the value of nonfinancial firms. In contrast, the …

This paper studies the dynamics of the impact of currency fluctuation on Indian stock market
by assessing the pricing of exchange rate risk during the period 2005–2016, specifically …

In an attempt to explain the weak evidence of priced exchange rate risk, we hypothesize that
in addition to currency derivative usages, earnings management serves as another factor …

This paper develops a direct, explicit model for the role of exchange rate fluctuations in
international stock markets and examines how and to what extent volatility and correlations …

This paper provides evidence of a significant exchange rate effect on stock index returns
using data from seven selected countries practicing free-floating exchange rate regimes …

We consider the linkage between stock prices and exchange rates in four Middle East
emerging markets. The existing evidence on stock prices and exchange rates typically relies …

We use a sample of 269 UK non-financial firms to study the sensitivity of foreign exchange
exposure, and its determinants, to the different estimation methods. The standard Jorion's …

In this paper, we examine the relationship between disclosure level and the cost of equity
capital for a sample of international firms cross-listing on the New York Stock Exchange …

Most studies of exchange rate exposure of stock returns do not address three relevant
aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate …

A traditional Monte Carlo simulation using linear correlations induces estimation bias in
measuring portfolio value-at-risk (VaR), due to the well-documented existence of fat-tail …