The Effect Of Markups On The Exchange Rate Exposure Of Stock Returns
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The Effect Of Markups On The Exchange Rate Exposure Of Stock Returns
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Author : George Allayannis
language : en
Publisher:
Release Date : 2000
The Effect Of Markups On The Exchange Rate Exposure Of Stock Returns written by George Allayannis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Markup categories.
This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where its final output is sold, (2) the interaction of greater compeitiveness in its export market and a larger share of exports in production and, (3) the interaction of less competitiveness in its imported input market and the smaller the share of imports in production. Using a sample of 82 U.S. manufacturing industries at the 4-digit SIC level, classified in 18 2-digit industry groups, between 1979 and 1995, we estimate exchange-rate exposure as suggested by our model. We find that 4 out of 18 industry groups are significantly exposed to exchange-rate movements through at least one channel of exposure. On average, a 1 percent appreciation of the dollar decreases the return of the average industry by 0.13 percent. Consistent with our model's predictions, as an industry's markups fall (rise), its exchange-rate exposure increases (decreases).
Effect Of Markups On The Exchange Rate Exposure Of Stock Returns
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Author :
language : en
Publisher:
Release Date :
Effect Of Markups On The Exchange Rate Exposure Of Stock Returns written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
The U.S. Federal Reserve Board presents the full text of an article entitled "The Effect of Markups on the Exchange Rate Exposure of Stock Returns," by George Allayannis and Jane Ihrig. The article discusses how to test for factors that affect the exchange rate exposure of stock returns.
Exchange Rates And Corporate Performance
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Author : Yakov Amihud
language : en
Publisher: Beard Books
Release Date : 2003
Exchange Rates And Corporate Performance written by Yakov Amihud and has been published by Beard Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
International Finance Discussion Papers
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Author :
language : en
Publisher:
Release Date : 1972
International Finance Discussion Papers written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with International finance categories.
Exposure And Markups
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Author : George Allayannis
language : en
Publisher:
Release Date : 2001
Exposure And Markups written by George Allayannis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This paper examines how to properly specify and test for factors that affect exchange-rate exposure. We develop a theoretical model, which explicitly identifies three channels of exposure: a) a positive effect through the competitive structure of the markets where final output is sold; b) a positive effect through the interaction of the competitive structure of the export market and the share of production that is exported; and c) a negative effect through the interaction of the competitive structure of the imported input market and the share of production that is imported. Using a sample of 82 U.S. manufacturing industries at the 4-digit SIC level, classified in 18 2-digit industry groups, between 1979 and 1995, we estimate exchange-rate exposure as suggested by our model. We find that approximately 4 out of 18 industry groups are significantly exposed to exchange-rate movements through at least one channel of exposure. On average, a 1 percent appreciation of the dollar decreases the return of the average industry by 0.13 percent. Consistent with our model's predictions, as industries become more (less) competitive, their exchange-rate exposure increases (decreases).
Pass Through Exposure
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Author : Gordon M. Bodnar
language : en
Publisher:
Release Date : 1999
Pass Through Exposure written by Gordon M. Bodnar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Examining The Impact Of Exchange Rates And Interest Rate Exposure On U S Firms Stock Returns
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Author : Hui Peng Saw
language : en
Publisher:
Release Date : 2001
Examining The Impact Of Exchange Rates And Interest Rate Exposure On U S Firms Stock Returns written by Hui Peng Saw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The New Palgrave Dictionary Of Economics
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Author :
language : en
Publisher: Springer
Release Date : 2016-05-18
The New Palgrave Dictionary Of Economics written by and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Law categories.
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Exchange Rate Exposure
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Author : Kathryn M. Dominguez
language : en
Publisher:
Release Date : 2001
Exchange Rate Exposure written by Kathryn M. Dominguez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Corporations categories.
In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets, and find that a significant percentage of these firms are indeed exposed. These results differ substantially from most previous studies in the literature that find little evidence of exposure. In robustness checks we find that: (i) the choice of exchange rate matters, and using the trade-weighted exchange rate is likely to understate the extent of exposure, (ii) conditioning on the value-weighted vs. the equally-weighted market index has little effect on estimated exposure, while conditioning on the international index does change the estimate of exposure, (iii) the extent of exposure is not a result of a spurious correlation between random variables with high variances, (iv) exposure increases with the return horizon, (v) within a country and within an industry, exposure coefficients are roughly evenly split between positive and negative values, (vi) averaging across the (absolute value of the) significant exposure coefficients in our sample of countries, we find an exposure coefficient of about 0.5, (vii) the extent of exposure is not sensitive to the sample period, but the set of firms that is exposed does vary over time, and (viii) the sign of the exposure coefficients changes across subperiods for about half of the firms of our sample. We find that exposure is not systematically related to firm size, industry affiliation, multinational status, foreign sales, international assets or industry-level trade.
Managing Exchange Rate Risks
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Author : International Chamber of Commerce
language : en
Publisher:
Release Date : 1985
Managing Exchange Rate Risks written by International Chamber of Commerce and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Foreign exchange categories.