(1)

(2)

(3)

(4)

(5)

(6)

(7)

Hong Kong

--

3

3

3

3

.71

33

Indonesia

7

6

6

6

9

.28

100

Japan

5

4

--

4

6

.82

100

Korea

5

4

4

5

5

.20

100

Malaysia

3

3

3

3

3

.32

98

Philippines

3

3

6

3

6

.25

33

Singapore

4

4

4

4

4

.94

45

Taiwan

3

4

4

3

5

.57

100

Thailand

5

6

5

5

7

.54

100

Australia

6

5

5

5

9

.26

100

New Zealand

5

8

8

8

12

.55

40

Notes: This table summarizes 25,470 (the total number of firms times the number of draws) regressions of actual returns series on simulated exchange rate series. For each country, pseudo-exchange rate returns were generated as mean zero normal random variables with standard deviations matching the original exchange rate return series. These pseudo-returns were included in each firm-level time-series regression, and the number of coefficients statistically different from zero was recorded for each pseudo- currency. Then, new exchange rate series were drawn, and the process was repeated thirty times before proceeding to the next country. The table reports the median percent of statistically significant coefficient estimates.

# Appendix Table 3: Simulated Residual Foreign Exchange Exposure

r_{i,t = }

J _{0 + J }_{h rh,t + J w rw,t }

t U S U S s $ , $ + E

t e u r o e u r o s , + E

t s , ¥ ¥ + E

t s , £ £ + E

+

u

_{i,t }

0

Median R 2

#

of

firms

Percent of firms rejecting: H_{0: ȕj=0 at the 5% level }

j=

US$

€

¥

£

H 0 : j _{j }E