Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316514 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 20 [Issue:] 4 [Year:] 2016 [Pages:] 469-491
Verlag: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Zusammenfassung: 
In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared. A key result from our analysis is that the long term effect of exchange rate movements on firm values is greater than the short term effect. And we find very similar results from using other exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control variable and find that the extent of exposure is not much changed. Third, we examine the changes in exposure to exchange rate volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than for exposure to exchange rate itself. Taken as a whole, our findings suggest that the so-called "exposure puzzle" may be a matter of the methodology used to measure exposure.
Schlagwörter: 
Exchange Rate Exposure
Change in Exchange Rates
Exchange Rate Volatility
Stock Price
Exposure Puzzle
JEL: 
F31
F41
O53
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.