Table A4.

Exchange rate exposure and systematic risk at the industry 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
Basic Materials	0.979	0.000	0.239	0.003	1.264	0.000	0.138	0.111	1.193	0.000	0.175	0.004
Consumer Goods	0.769	0.000	0.404	0.000	0.688	0.000	0.324	0.002	0.702	0.000	0.373	0.000
Consumer Services	0.935	0.000	-0.244	0.000	0.743	0.000	-0.206	0.003	0.792	0.000	-0.218	0.000
Financials	0.906	0.000	-0.317	0.000	1.175	0.000	-0.538	0.000	1.113	0.000	-0.444	0.000
Health Care	0.938	0.000	-0.044	0.564	0.664	0.000	0.045	0.746	0.734	0.000	0.002	0.981
Industrials	0.806	0.000	-0.271	0.000	0.817	0.000	-0.399	0.000	0.816	0.000	-0.337	0.000
Technology	1.261	0.000	-0.024	0.772	0.820	0.000	0.226	0.071	0.927	0.000	0.129	0.103
Telecommunications	0.901	0.000	-0.055	0.655	0.999	0.000	-0.304	0.049	0.978	0.000	-0.189	0.047

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.