Exchange Rate Exposure of Stock Returns at Firm Level

2014 ◽  
Author(s):  
Prabhath Jayasinghe ◽  
Gamini Premaratne
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Firm Level ◽  
Exchange Rate Exposure

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements

2020 ◽  
Author(s):  
Afees A. Salisu ◽  
Kazeem Isah ◽  
Nnenna Ogbonnaya‐Orji
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Firm Level ◽  
Asymmetric Response ◽  
Exchange Rate Movements ◽  
Level Analysis

Factors Determining the Exchange Rate Exposure of Firms: Evidence from India

2021 ◽  
pp. 227853372110337
Author(s):  
Zakiya Begum Sayed ◽  
J. Gayathri
Keyword(s):  
Exchange Rate ◽  
Multinomial Logistic Regression ◽  
Exchange Rate Volatility ◽  
Strategic Decision ◽  
Firm Level ◽  
Factors Affecting ◽  
Business Operations ◽  
Industrial Sectors ◽  
Exchange Rate Exposure ◽  
The Exchange Rate

Exchange rate exposure is a strategic decision in finance and risk management at both the micro and macro level of business operations. Literature on the measurement, and management of this risk, has had no consensus on the factors affecting it as these factors seem to be dynamic. In an effort to consider a comprehensive study at the firm level, this article examines the exchange rate exposure of 271 constituent firms from the BSE S&P 500 index. The study period was 2001 to 2020 divided into sub-periods around the financial crises of 2008. The study uses two contemporary approaches (the capital market approach and the cash flow approach) and five relevant exchange rates (USD, EURO, GBP, JPY, and REER) to measure the foreign exchange. The sample firms were divided into 10 industrial sectors to identify the factors that lead to exposure of firms to exchange rate volatility. We use multinomial logistic regression to regress the select factors with the measured value of exchange rate exposure. The findings of the article suggest that multinationality, fixed asset utilization ratio, hedging activities, industrial sectors, size, and age of the firms are the significant determinants of such exposure. The results varied during the sub-periods and across industries.

Exchange Rate Exposure: Evidence from Finnish Stock Returns

2003 ◽  
Author(s):  
Gregory Koutmos ◽  
Johan Anders Knif
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Exchange Rate Exposure

First- and Second-Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns

2003 ◽  
Vol 38 (3) ◽  
pp. 455-471 ◽  
Author(s):  
Gregory Koutmos ◽  
Anna D. Martin
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Second Moment ◽  
Exchange Rate Exposure

scholarly journals Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level

2015 ◽  
Vol 19 (3) ◽  
pp. 592-607 ◽  
Author(s):  
Bo Tang
Keyword(s):  
Exchange Rate ◽  
Chinese Firms ◽  
Firm Level ◽  
Exchange Rate Exposure

scholarly journals Petroleum and Food Sectors Lost Stock Returns against Investments in PSX

2021 ◽  
Vol VI (I) ◽  
pp. 99-111
Author(s):  
Syed Muhammad Ali Tirmizi ◽  
Haider Ali ◽  
Sharif Ullah Jan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Factor Model ◽  
Structural Break ◽  
Unit Root Test ◽  
Listed Firms ◽  
Market Return ◽  
Exchange Rate Exposure ◽  
Petroleum Sector ◽  
The Impact

The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.

scholarly journals The Effect of Markups on the Exchange Rate Exposure of Stock Returns

2000 ◽  
Vol 2000 (661) ◽  
pp. 1-22 ◽  
Author(s):  
George Allayannis ◽  
◽  
Jane Ihrig
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Exchange Rate Exposure ◽  
The Exchange Rate
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