Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/50658 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Manchester Business School Working Paper No. 605
Verlag: 
The University of Manchester, Manchester Business School, Manchester
Zusammenfassung: 
This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with the prior literature: that there is little evidence of exchange rate exposure in most industries - the exchange rate exposure puzzle. However, rather than relying solely on the sensitivity of industry returns, we examine the cash flow sensitivity to foreign exchange exposure, of primary interest to firm managers. Critically, decomposing the exposure into cash flow and discount rate components unlocks the exact extent and nature of exposure. Our results show industries have significant cash flow and discount rate exposures. These exposures increase with the level of trade openness and the spread between permanent cash flow exposure and transitory discount rate exposure widens.
Schlagwörter: 
foreign exchange
exposure
interest rates
stock returns
international finance
JEL: 
F31
G15
Dokumentart: 
Working Paper

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