In this paper, we extend Francis, Hasan, and Hunter (2008) and Stacks and Wei (2005) by simultaneously taking into account the time and the regime dependence of foreign exchange exposure in a reduced-form framework. Specifically, we use a random coefficient model and the quantile regression technique invented by Koenker and Bassett (1978) to examine the currency exposure of 30 US industry portfolios. We find that all 30 industry portfolios exhibit significant foreign exchange exposure. Therefore, our results support Francis, Hasan, and Hunter (2008) and Stacks and Wei (2005), and suggest that the methodological weakness, not hedging, explains the insignificance of currency risk in previous studies
