Journal ArticleDOI
Estimation of foreign exchange exposure: an application to mining companies in Australia
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In this article, the authors measure the foreign exchange exposure of mining firms in Australia, traditionally thought to be very sensitive to exchange rate movements, and find that the sensitivity of stock returns to currency movements is small.About:
This article is published in Journal of International Money and Finance.The article was published on 1994-06-01. It has received 170 citations till now. The article focuses on the topics: Stock exchange & Exchange rate.read more
Citations
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Risk factors in stock returns of Canadian oil and gas companies
TL;DR: In this paper, the authors used a multifactor market model to estimate the expected returns to Canadian oil and gas industry stock prices, and showed that exchange rates, crude oil prices and interest rates each have large and significant impacts on stock price returns in the Canadian Oil and Gas industry.
Journal ArticleDOI
Evidence on the nature and extent of the relationship between oil prices and equity values in the UK
TL;DR: The authors investigated the relationship between the price of crude oil and equity values in the oil and gas sector using data relating to the United Kingdom, the largest oil producer in the European Union.
Journal ArticleDOI
Common and fundamental factors in stock returns of Canadian oil and gas companies
Marcel Boyer,Didier Filion +1 more
TL;DR: This article found that the return of Canadian energy stock is positively associated with the Canadian stock market return, with appreciations of crude oil and natural gas prices, with growth in internal cash flows and proven reserves, and negatively with interest rates.
Journal ArticleDOI
Oil price risk and the australian stock market
Robert W. Faff,Tim Brailsford +1 more
TL;DR: In this article, the authors investigate the sensitivity of Australian industry equity returns to an oil price factor over the period 1983-1996 and find significant negative oil price sensitivity in the Paper and Packaging, and Transport industries.
Journal ArticleDOI
Asymmetric exchange rate exposure: theory and evidence
Gregory Koutmos,Anna D. Martin +1 more
TL;DR: In this article, the authors test the hypothesis that exchange rate exposure is asymmetric over appreciation-depreciation cycles and investigate whether returns on nine sector indexes across four major countries are asymmetrically affected by exchange rate movements.
References
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Journal ArticleDOI
On the Formulation of Empirical-models in Dynamic Econometrics
TL;DR: In this article, the authors consider a set of specific concepts relevant to empirical model formulation (e.g. innovations for past data, exogeneity for present, encompassing for contending models, etc.) and various properties of such concepts are established.
Journal ArticleDOI
A maximum likelihood procedure for regression with autocorrelated errors
TL;DR: In this paper, an alternative maximum likelihood procedure which incorporates the first observation and the stationarity condition of the error process is proposed, which is similar to the Cochrane-Orcutt procedure and appears to be at least as computationally efficient.
Journal ArticleDOI
Real and nominal exchange rates in the long run: An empirical investigation
TL;DR: In this paper, the authors report on econometric tests of the hypothesis that purchasing power parity holds as a long-run relationship using data on eight industrialized countries during the flexible exchange rate period.
ReportDOI
International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence
TL;DR: In an open economy, the scope for activist stabilization policy depends on the nature of the lincages between domestic and international markets for goods and assets as mentioned in this paper, which are fundamental building blocks of several eipirical ex-change rate models.
Journal ArticleDOI
The Pricing of Interest‐Rate Risk: Evidence from the Stock Market
Richard J. Sweeney,Arthur Warga +1 more
TL;DR: In this article, a two-factor APT model with the market and changes in the yield on long-term government bonds as factors is employed to evaluate whether firms are required to pay an ex ante premium to investors for bearing the risk of interest-rate changes.
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