This paper examines the importance of exchange rate exposure in the return generating process for a large sample of non-financial firms from 37 countries. We argue that the effect of exchange rate exposure on stock returns is conditional and show evidence of a significant return impact to...

This paper provides a broad analysis of the effect of the current financial crisis on global equity markets and their major components. We also examine the magnitude of the crisis in terms of value destruction in comparison to other market crashes. In brief, upon looking at return performance...

This is the third in a series of surveys on financial risk management practice and derivatives use by non-financial corporations in the United States undertaken by the Wharton School. This 1998 survey, written in partnership again with CIBC World Markets, extends the previous two surveys by...

How does a firm in one country evaluate an investment in a firm in another country, or how does it evaluate a foreign project that the firm itself is undertaking? The firm must estimate future free cash flows just as in a domestic project, but choosing an appropriate discount rate is a...

This paper examines the effect of geographic and industrial diversification on firm value for a sample of over 20,000 firm-year observations of U.S. corporations from 1987-1993. Ourquot; multivariate tests indicate the average value of a firm with international operations is 2.2% higher than...

This paper demonstrates the value-relevance of foreign earnings for U.S. multinational firms by examining the associations between annual abnormal stock performance and changes in firms' domestic and foreign incomes disclosed through SEC Regulation ?210.4-08(h). For 2570 firm-year observations...

From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...

We show that both return measurement horizon and model specification have noticeable impacts on estimates of exposure from equity prices for US firms. While increases in the return horizon lead to increases in the precision of the estimates, this effect is less significant than the impact of...

Why do firms manage risk? According to theory, firms hedge to mitigate credit rationing, to alleviate information asymmetry, and to reduce the risk of financial distress. Empirical support for these theories is mixed. Our paper addresses the “why” by directly questioning the managers that...

A number of theories have been proposed to explain why firms hedge. Unfortunately, these theories are hard to test: While we might observe the hedges, it is hard to answer the question of “why” hedging occurs. Our paper addresses the “why” by directly questioning the managers that make...