The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies

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• 作者：Sam Agyei-Ampomah ; Khelifa Mazouz ; Shuxing Yin
• 关键词：F31 ; F23
• 刊名：International Review of Financial Analysis
• 出版年：2013
• 出版时间：September, 2013
• 年：2013
• 卷：29
• 期：Complete
• 页码：251-260
• 全文大小：796 K

文摘

We use a sample of 269 UK non-financial firms to study the sensitivity of foreign exchange exposure, and its determinants, to the different estimation methods. The standard Jorion's model suggests that 14.93 % (30.50 % ) of the firms in our sample are exposed directly or indirectly to the fluctuations in the TWC (the US$, the Euro or the JP£¤). However, the exposure increases substantially to 85.13 % (96.65 % ) when time varying exposure regressions with orthogonalized market returns are used. We also show that the determinants of currency exposure are model-dependent. While the cross-sectional results suggest very little or no relationship between firm-specific factors and currency exposure, the explanatory power of these factors increase when data is pooled across firms and time.