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Linear and nonlinear foreign exchange rate exposures

Research output: Working paper

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

Research output: Working paper

Harvard

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

APA

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

Vancouver

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

Author

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

Bibtex

@techreport{f4874c49159947fc80f3826e700ef7a2,
title = "Linear and nonlinear foreign exchange rate exposures",
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.",
keywords = "Foreign exchange rates, exposure, corporate finance, risk management, derivatives",
author = "S Bartram",
year = "2002",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Linear and nonlinear foreign exchange rate exposures

AU - Bartram, S

PY - 2002

Y1 - 2002

N2 - 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.

AB - 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.

KW - Foreign exchange rates

KW - exposure

KW - corporate finance

KW - risk management

KW - derivatives

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Linear and nonlinear foreign exchange rate exposures

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -