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Linear and nonlinear foreign exchange rate exposures

Bartram, S (2002) Linear and nonlinear foreign exchange rate exposures. Working Paper. The Department of Accounting and Finance, Lancaster University.

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    Abstract

    It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of 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: Monograph (Working Paper)
    Uncontrolled Keywords: Foreign exchange rates ; exposure ; corporate finance ; risk management ; derivatives
    Subjects:
    Departments: Lancaster University Management School > Accounting & Finance
    ID Code: 48618
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:02
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:11
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48618

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