We examine the relation between firms' foreign exchange exposure and the extent of their multinationality as a proxy for operational hedging. Using a sample of 953 US firms over the period 1999-2006, we show that there is a nonlinear relation between operational and financial hedging, confirming...

Companies engage in foreign exchange have always been in risk for their value of money. In volatile economy, companies become more active with hedging tools and techniques available in financial market to nullify downside risk. It is found that foreign exposure sometime significantly highlight...

The role of the market makers is crucial in determining the foreign exchange risk premium in currency carry trade. A typical market maker of foreign exchange is a highly leveraged commercial bank or investment bank. I derive a model of foreign exchange risk premium from the perspective of a...

The purpose of this study is to examine the relationship between the movements of exchange rate and value of Korean firms, so-called foreign exchange rate exposure using newly devised model to find the strong evidence. I use weekly data on Korean Firms that are listed on Korea Stock Exchange...

This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...

Even in a floating foreign exchange rate regime monetary authorities sometimes intervene in the currency market due to liquidity demand and foreign exchange crisis. Typically, central banks intervene using foreign currency trades and/or changing domestic interest rates. We discuss this framework...

This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....

This study investigated the impact of foreign exchange (FX) exposure and Syariah-compliant status on a firm's decision to practice hedging. The study employed panel multiple logistic and panel multinomial logistic regression on 792 firm-year observations from 132 non-financial listed firms over...

We explore how the US presidential effect in stock prices is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results show that the existence of a presidential effect in stock returns depends on how a firm's stock returns are associated with changes in...

Recent studies have derived optimal invoicing strategies for an exporting firm when exchange rates are uncertain. However, these studies fail to explain trade transacted in a third currency (vehicle currency). In this study, we extend existing models to include the possibility that trade occurs...