Earticle

초록

영어

In this paper, we estimate several measures of firm’s ‘exposure to exchange rate risks’ --hereafter ‘F/X exposure’--, and analyze how these exposures are affected by different firm characteristics including foreign ownership. By using the foreign ownership and stock return data on 571 Korean firms from 2000 to 2006, we find that foreign ownership is an important factor affecting the F/X exposures. In particular, during a month of home currency depreciation, stock returns of firms with a higher ownership experience a greater negative shock, but during a month of increased exchange rate volatility, it is the firms with a lower ownership that receive a greater negative shock. Overall, various firm characteristics affect the F/X exposures in different directions, weakening the significance of them. This finding helps explain the previously documented weak association between exchange rates and stock returns.

목차

Abstract
 I. Introduction
 II. Empirical Models
  II.1 Measurement of F/X Exposures
  II.2 Determinants of F/X Exposure
 III. Results
  III.1 Measurement of F/X Exposures
  III.2 Determinants of F/X Exposures
  III.3 Determinants of Foreign Ownership
 IV. Conclusion
 References
 Appendix

저자

• AiLian Bian [ Korea University Business School ]
• Jin-Wan Cho [ Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330