| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5323 |
| 来源ID | Working Paper 5323 |
| Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System | |
| Eli Bartov; Gordon M. Bodnar; Aditya Kaul | |
| 发表日期 | 1995-10-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | This study assesses the impact of exchange rate variability on the riskiness of U.S. multinational firms by examining the relation between exchange rate variability and stock return volatility and by decomposing this relation into components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the increase in stock return volatility for firms in three control samples. Using a single factor market model, we show this increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the control samples between the two periods. Collectively, these results suggest that the increase in exchange rate variability after 1973 was perceived by investors to be associated with an increase in the riskiness of cash flows of multinational firms that required compensation in terms of higher expected returns. |
| 主题 | International Economics ; International Factor Mobility ; International Finance |
| URL | https://www.nber.org/papers/w5323 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562775 |
| 推荐引用方式 GB/T 7714 | Eli Bartov,Gordon M. Bodnar,Aditya Kaul. Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5323.pdf（374KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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