Dear Nicola Pugliese

greetings,

Please find the attached file about abnormal return mat be helpful and interesting for you ,

Best Regards,

Thanks Faris.

Regards

There are arguments for both sides.  Technically, returns need to be made comparable.  You can run the analysis without the exchange rate adjustment but it will potentially reduce the quality and accuracy of the analysis.  

I agree with Scott. Returns become more comparable with the exchange rate adjustment.

Thanks to everyone - as far as I can understand from last two posts it's more about a matter of accuracy and less about a required step in order to guarantee the consistency of the model. 

In a nutshell, comparing the dataset of returns net of any effect arising from ForEx over the considered period (please if you could confirm this last point, it would be crucial for me). 

Thanks so much to everyone, and happy Chrismas hokidays.

Greetings,

Nicola Pugliese

https://www.researchgate.net/publication/285590240_Sensitivity_Analysis_of_Macroeconomic_Variables_and_Stock_Returns_A_Cross-Country_Comparison_between_Bangladesh_and_India?ev=prf_pub

Book Sensitivity Analysis of Macroeconomic Variables and Stock Re...

Hi,

You may be interested in this study:

 LOST IN TRANSLATION: WHICH STOCK PRICES BEAR THE BURDEN TO ADJUST TO EXCHANGE RATES?

Journal of financial research, Fallt 2016, vol 39, issue 3,(pages 263–290)

Jimmy Lockwood, Larry Lockwood and Sie Ting Lau

Best regards

https://growthlab.cid.harvard.edu/files/growthlab/files/devaluations_ven_cidrfwp83.pdf