We compare the foreign exchange (FX) exposure estimates of four empirical models that differ only in the choice of control variable. We use a large sample of US equities (19 100) over a long time span (1980-2011). We find a much higher percentage of statistically significant FX exposure estimates with a bond return control variable than with a broad equity index. We also find that the FX exposure estimates with no control variable are close to those for the bond return control variable, and the estimates with Fama-French factor control variables are close to those with the equity index.
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