| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7497 |
| 来源ID | Working Paper 7497 |
| Estimating Exchange Rate Exposures: Some \"Weighty\" Issues | |
| Gordon M. Bodnar; M.H. Franco Wong | |
| 发表日期 | 2000 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | 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 a market portfolio in the specification results in significant changes to the exposure estimates. We further demonstrate that different definitions of the market portfolio result in important differences in the overall distribution of exposure estimates and the interpretations of the sign, size, and significance of many firms' exposures. The source of the exposure differences across market portfolios is due to a strong size-exposure relation for U.S. firms. Surprisingly, this size-exposure relation does not appear to be driven by an underlying correlation between size and foreign cash flow position of the firms. An alternative model specification using matched CRSP capital-based size portfolios as controls for market movements in the exposure model produces firm-level exposures with a stronger relation to foreign cash flows and less of a correlation with firm size. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w7497 |
| 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/565043 |
| 推荐引用方式 GB/T 7714 | Gordon M. Bodnar,M.H. Franco Wong. Estimating Exchange Rate Exposures: Some \"Weighty\" Issues. 2000. |
| 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 | ||
| w7497.pdf（329KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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