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Foreign exchange rate exposure of companies under dynamic regret
Entrop, Oliver; Fuchs, Fabian U. - 2020
This paper analyzes optimal hedge ratios for foreign exchange (FX) rate risk of companies. Our contribution to the literature is twofold: (i) We present a theoretical two-period regret model that allows us to analyze the determinants of the optimal hedge ratio given the outcome of past hedging...
Persistent link: https://www.econbiz.de/10012158926
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Implicit currency carry trades of companies
Entrop, Oliver; Fuchs, Fabian U. - 2020
The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies implicitly execute carry trades, when they have...
Persistent link: https://www.econbiz.de/10012158939
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Exchange rate exposure and its determinants : evidence on Hungarian firms
Tomanová, Lucie - In: European financial and accounting journal : EFAJ 9 (2014) 2, pp. 47-65
This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 - 2014, resp. 2003 - 2012 in case of cash flow analysis. Stock...
Persistent link: https://www.econbiz.de/10011460529
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Exchange Rates and Firm Exports : The Role of Foreign Ownership and Subsidiaries
Choi, Hyelin - 2018
effectiveness of the exchange rates on exports appears to be weak across countries. This anomaly is one of the central puzzles in … prices, consumer prices, and quantity of exports. In this paper, we examines the role of global production linkages on ex … exports. The empirical results show that the exchange rate elasticity of total export is about -0.64, which implies that 10 …
Persistent link: https://www.econbiz.de/10012906703
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Coping With the Rising Yen : Japan's Recent Export Experience
Klitgaard, Thomas - 2007
of the 1990s. Their strategies? Cutting the yen price of exports and shifting production to higher-value merchandise …
Persistent link: https://www.econbiz.de/10014225479
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Time-Variation in the Exchange Rate Exposure of Swiss Firms
Kabitz, Lars - 2017
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...
Persistent link: https://www.econbiz.de/10012957296
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Exchange Rate Risk Exposure and the Value of European Firms
Parlapiano, Fabio - 2019
This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011 we assess the impact of unexpected...
Persistent link: https://www.econbiz.de/10012864975
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Exchange Rate Risk Exposure and the Value of European Firms
Parlapiano, Fabio - 2015
This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected...
Persistent link: https://www.econbiz.de/10013017243
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Does Using Hedging Instruments Reduce Foreign Exchange Exposure?
Devina, Lidya; Dalimunthe, Zuliani - 2023
This study aims to determine whether the use of derivatives in non-financial companies in Indonesia as a hedging instrument affects firms' exchange rate risk exposure. The study's sample is 164 non-financial companies listed on the Indonesia Stock Exchange in 2019. We used the multiple...
Persistent link: https://www.econbiz.de/10014257226
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Hedging and invoicing strategies to reduce exchange rate exposure - a euro-area perspective
Döhring, Björn - Directorate-General Economic and Financial Affairs, … - 2008
Domestic-currency invoicing and hedging allow internationally active firms to reduce their exposure to exchange rate variations. This paper argues that domestic-currency invoicing and hedging with exchange rate derivatives allow a fairly straightforward management of transaction and translation...
Persistent link: https://www.econbiz.de/10008459252