Table 4.

The exposure of firm stock returns in the Japanese transportation equipment industry to the yen/dollar exchange rate.

(1)	(2)	(3)	(4)	(5)	(6)	(7)
Firm	Sector	Yen/dollar Exchange Rate Elasticity	Standard Error	Adjusted R-squared	Standard Error of Regression	Number of Observations
Subaru Co.	Automobiles	0.549***	0.053	0.3792	0.01864	6782
Mazda Motor Co.	Automobiles	0.528***	0.057	0.3677	0.02113	6782
Honda Motor Co.	Automobiles	0.500***	0.045	0.4582	0.01546	6782
Bridgestone	Tires	0.411***	0.046	0.3295	0.01697	6782
Aisin Seiki	Auto Parts	0.319***	0.046	0.3850	0.01637	6782
Nissan Motor Co.	Automobiles	0.306***	0.044	0.3736	0.01768	6782
Sumitomo Rubber	Tires	0.301***	0.058	0.2836	0.0182	6782
Toyota Motor Co.	Automobiles	0.268***	0.033	0.5596	0.01193	6782
Denso	Auto Parts	0.266***	0.040	0.4818	0.01480	6782
Toyota Industries	Auto Parts	0.256***	0.034	0.4752	0.01324	6782
Toyo Tires	Tires	0.223***	0.055	0.2883	0.02327	6782
Yokohama Rubber	Tires	0.217***	0.049	0.3706	0.01747	6782
Suzuki Motor Co.	Automobiles	0.214***	0.046	0.3373	0.01788	6782
Isuzu Motor Co.	Automobiles	0.208***	0.059	0.3474	0.02324	6782
Sumitomo Electric Industries	Auto Parts	0.181***	0.039	0.4595	0.01481	6782
Hino Motors	Commercial Vehicles & Trucks	0.159***	0.063	0.3530	0.02148	6782
Mitsubishi Motor Co.	Automobiles	0.140***	0.053	0.2432	0.02222	6782

Note: The exchange rate coefficients come from a regression of each firm’s stock returns on the change in the yen/dollar exchange rate, the return on the Japanese stock market, and the return on the world stock market. Daily data over the 1 September 1993 to 29 August 2019 are used. Heteroskedasticity and autocorrelation consistent standard errors are reported.

^***Denotes significance at the 1 % level.

Source: Datastream database, Federal Reserve Bank of St. Louis FRED database, and calculations by the author.