کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958379 1478847 2006 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms
چکیده انگلیسی

This paper examines how U.S. multinational firms are affected by foreign currency movements. In light of detailed exchange rate data, we find that 29% of our sample of 935 U.S. firms with real operations in foreign countries is significantly affected by currency movements between 1990 and 2001. Results show moreover that U.S. stock returns react asymmetrically to currency movements. By introducing nonlinearity in foreign currency risk exposure, we noticeably increase the precision and the significance of exposure estimates. We demonstrate moreover that asymmetries are more pronounced towards large versus small currency fluctuations than over depreciation and appreciation cycles.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 13, Issues 4–5, October 2006, Pages 495–518
نویسندگان
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