In general, exterior above-grade walls should have continuous air, water, and thermal barriers. Installing rigid insulation as the exterior sheathingMaterial, usually plywood or oriented strand board (OSB), but sometimes wooden boards, installed on the exterior of wall studs, rafters, or roof trusses; siding or roofing installed on the sheathing—sometimes over strapping to create a rainscreen.
can accomplish all of these tasks, but you need to account for shear resistance (provide wall bracing) in other ways, and you must provide special details if you expect the foam sheathing to perform as a WRB.
Check out the advanced framing section of Construction Detail Library for alternative techniques to achieve shear resistance, and check out Using Rigid Foam As a Water-Resistive Barrier for more information on walls without housewrap.