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Using company-level data, this paper examines the relative stock-market performance of firms with different foreign-exchange exposures around the time of the 1994/95 Mexican crisis. Contrary to what one might have expected given the alleged peso overvaluation, exporting firms outperformed the market beginning in late 1993. Although interest rates fail to show a clear confidence loss in the exchange rate regime, the relative performance of net exporters suggests that expectations of devaluation increased continuously. The methodology presented is relevant beyond the Mexican case: sectoral differences in stock market performance may constitute valuable leading indicators of exchange rate changes in emerging markets.

Exports and Imports --- Finance: General --- Foreign Exchange --- Financial Markets and the Macroeconomy --- Open Economy Macroeconomics --- Information and Market Efficiency --- Event Studies --- General Financial Markets: General (includes Measurement and Data) --- Trade: General --- Currency --- Foreign exchange --- Finance --- International economics --- Exchange rates --- Stock markets --- Exchange rate adjustments --- Exchange rate arrangements --- Exports --- Financial markets --- International trade --- Stock exchanges --- United States