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Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations
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Bartram, Söhnke M. (2004) Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. Journal of International Money and Finance, 23 (4). pp. 673-699. doi:10.1016/j.jimonfin.2004.03.002
Research output not available from this repository, contact author.Abstract
This paper investigates whether the low significance of the impact of foreign exchange rate risk on firm value reported in previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Journal of International Money and Finance | ||||
| Publisher: | Elsevier BV | ||||
| ISSN: | 0261-5606 | ||||
| Official Date: | 2004 | ||||
| Dates: |
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| Volume: | 23 | ||||
| Number: | 4 | ||||
| Page Range: | pp. 673-699 | ||||
| DOI: | 10.1016/j.jimonfin.2004.03.002 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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