This paper attempts to find evidence for sign asymmetry of exchange rate exposure. An extended classification of the sources of asymmetry has been introduced in place of somewhat incomplete classification suggested by previous studies. In addition, a new measure is suggested in order to estimate...

This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

This paper examines the adequacy of the exposure coefficient/beta in measuring the entire impact of exchange rate changes on firms' future operating cash flows. To this end, we investigate the presence of four elements of exchange rate exposure: (a) sensitivity of stock returns to exchange rate...

This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors thus supporting the hypothesis that exchange rate...

The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons. First, it does not take into account a few important stylized facts associated with financial time series. Second, one cannot estimate...

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

This study measures the exchange rate exposure of Swiss firms for its most relevant currencies and assesses its time-variation. I find that the firm-level exposure varies considerably over time. Differences in operational possibilities to mitigate the exposure cannot explain this variance, while...