Table A3.

Exchange rate exposure and systematic risk at the sector level

	Panel A: Before COVID-19				Panel B: During COVID-19				Panel C: Full Sample
Variable	βM	P-value	βEX	P-value	βM	P-value	βEX	P-value	βM	P-value	βEX	P-value
Banks	1.037	0.000	-0.537	0.000	1.280	0.000	-0.765	0.000	1.227	0.000	-0.668	0.000
Life Insurance	1.061	0.000	-0.364	0.000	1.210	0.000	-0.542	0.000	1.180	0.000	-0.466	0.000
Auto and Parts	0.214	0.101	-0.161	0.114	0.655	0.000	-0.131	0.606	0.547	0.000	-0.163	0.233
Beverages	0.578	0.000	0.517	0.000	0.871	0.000	0.162	0.401	0.795	0.000	0.327	0.003
Chemicals	1.223	0.000	0.233	0.167	1.784	0.000	-1.168	0.014	1.654	0.000	-0.512	0.065
Construction and Materials	0.364	0.008	-0.178	0.107	0.491	0.000	-0.026	0.827	0.463	0.000	-0.108	0.169
Electronic and Electrical Equipment	0.657	0.000	-0.319	0.015	0.728	0.000	-0.674	0.001	0.712	0.000	-0.492	0.000
Food and Drug Retailers	0.904	0.000	-0.197	0.006	0.632	0.000	-0.087	0.332	0.699	0.000	-0.128	0.031
Food Producers	0.606	0.000	-0.123	0.067	0.403	0.000	-0.048	0.640	0.454	0.000	-0.081	0.204
Forestry and Paper	0.900	0.000	0.130	0.275	0.974	0.000	0.137	0.246	0.961	0.000	0.110	0.189
Fixed Line Telecommunications	1.079	0.000	0.061	0.733	1.124	0.000	-0.515	0.111	1.109	0.000	-0.245	0.203
General Retailers	1.043	0.000	-0.443	0.000	1.055	0.000	-0.570	0.000	1.054	0.000	-0.505	0.000
General Financials	0.927	0.000	-0.081	0.151	0.988	0.000	-0.254	0.008	0.976	0.000	-0.179	0.001
General Industrials	0.917	0.000	-0.309	0.000	0.879	0.000	-0.444	0.000	0.892	0.000	-0.377	0.000
Health Care Equipment and Services	0.846	0.000	-0.066	0.350	0.721	0.000	-0.082	0.554	0.755	0.000	-0.077	0.328
Industrial Metals and Mining	1.363	0.000	-0.288	0.161	1.043	0.000	0.104	0.529	1.127	0.000	-0.087	0.533
Industrial Transportation	0.653	0.000	-0.076	0.323	0.877	0.000	-0.475	0.005	0.821	0.000	-0.285	0.004
Media	0.590	0.000	-0.069	0.555	0.413	0.004	0.222	0.249	0.461	0.000	0.075	0.520
Mining	0.941	0.000	0.251	0.005	1.272	0.000	0.187	0.054	1.187	0.000	0.209	0.002
Mobile Telecommunications	0.891	0.000	-0.057	0.654	0.996	0.000	-0.295	0.059	0.973	0.000	-0.186	0.056
Nonlife Insurance	0.596	0.000	-0.272	0.002	0.451	0.000	-0.116	0.439	0.488	0.000	-0.185	0.038
Personal Goods	0.858	0.000	0.429	0.000	0.791	0.000	0.290	0.030	0.801	0.000	0.369	0.000
Pharmaceuticals and Biotechnology	1.121	0.000	-0.010	0.954	0.551	0.000	0.273	0.271	0.695	0.000	0.141	0.349
Real Estate Investment Services	0.476	0.000	0.200	0.000	1.243	0.000	-0.312	0.013	1.050	0.000	-0.085	0.287
Real Estate Investment Trust	0.529	0.000	-0.119	0.045	1.235	0.000	-0.526	0.000	1.062	0.000	-0.356	0.000
Software and Computer Services	1.261	0.000	-0.024	0.771	0.820	0.000	0.226	0.071	0.927	0.000	0.129	0.103
Support Services	0.273	0.003	0.045	0.664	0.408	0.000	-0.010	0.957	0.377	0.000	0.005	0.965
Tobacco	0.613	0.000	0.657	0.000	0.468	0.000	0.603	0.002	0.495	0.000	0.646	0.000
Travel and Leisure	0.440	0.000	-0.132	0.107	1.044	0.000	-0.445	0.117	0.893	0.000	-0.316	0.044

This table reports estimates of the systematic risk and exchange rate exposure coefficients obtained from the four-factor asset pricing model, Equation (6). β^EX is the exchange rate exposure coefficient derived from projecting exchange rate returns on the three factors, namely market returns (R^M), short-term interest rate (SR), and oil price returns (OIL). F^EX is the exchange rate component that is orthogonal to the three factors. Panels A, B, and C focus on the period before COVID-19, during COVID-19, and the full sample, respectively. We estimate Equation (6) by OLS and address potential serial correlation and heteroskedasticity in the error terms using heteroskedasticity and autocorrelation consistent standard errors.