[go: up one dir, main page]
create a website
Modeling time variation and asymmetry in foreign exchange exposure. (2007). Martin, Anna D. ; Koutmos, Gregory .
In: Journal of Multinational Financial Management.
RePEc:eee:mulfin:v:17:y:2007:i:1:p:61-74.

Full description at Econpapers || Download paper

Cited: 15

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements. (2022). Salisu, Afees ; Ogbonnayaorji, Nnenna ; Isah, Kazeem.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1220-1239.

    Full description at Econpapers || Download paper

  2. The behavior of exchange rate and stock returns in high and low interest rate environments. (2021). Salisu, Afees ; Vo, Xuan Vinh.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:74:y:2021:i:c:p:138-149.

    Full description at Econpapers || Download paper

  3. Does the currency exposure affect stock returns of Chinese automobile firms?. (2019). Tang, Bo.
    In: Empirical Economics.
    RePEc:spr:empeco:v:57:y:2019:i:1:d:10.1007_s00181-018-1437-4.

    Full description at Econpapers || Download paper

  4. The response of multinationals’ foreign exchange rate exposure to macroeconomic news. (2019). Boudt, Kris ; Wauters, Marjan ; Sercu, Piet ; Neely, Christopher J.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47.

    Full description at Econpapers || Download paper

  5. Does internationalisation increase exchange rate exposure? -Evidence from Chinese financial firms. (2018). Tang, Bo ; Cuestas, Juan ; Huang, Ying Sophie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:253-263.

    Full description at Econpapers || Download paper

  6. Predicting the stock prices of G7 countries with Bitcoin prices. (2018). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef.
    In: Working Papers.
    RePEc:cui:wpaper:0054.

    Full description at Econpapers || Download paper

  7. The effects of fair value reporting on corporate foreign exchange exposures. (2017). Krapl, Alain ; Salyer, Robert .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:215-238.

    Full description at Econpapers || Download paper

  8. Asymmetric foreign exchange cash flow exposure: A firm-level analysis. (2017). Krapl, Alain A.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:44:y:2017:i:c:p:48-72.

    Full description at Econpapers || Download paper

  9. Does the Yuans Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?. (2016). Tang, Bo ; Cuestas, Juan ; Huang, Ying Sophie.
    In: Working Papers.
    RePEc:shf:wpaper:2016006.

    Full description at Econpapers || Download paper

  10. Asymmetric Exchange Rate Exposure in Indonesian Industry Sectors. (2015). Lestano, Lestano.
    In: MPRA Paper.
    RePEc:pra:mprapa:64357.

    Full description at Econpapers || Download paper

  11. A comparison of FX exposure estimates with different control variables. (2014). Krapl, Alain ; O'Brien, Thomas J..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:6:p:437-451.

    Full description at Econpapers || Download paper

  12. Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach. (2014). El-Masry, Ahmed ; Olugbode, Mojisola ; Pointon, John.
    In: Manchester School.
    RePEc:bla:manchs:v:82:y:2014:i:4:p:409-464.

    Full description at Econpapers || Download paper

  13. Foreign exchange exposure of domestic corporations. (2010). Aggarwal, Raj ; Harper, Joel T..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:8:p:1619-1636.

    Full description at Econpapers || Download paper

  14. Nonlinear Foreign Exchange Exposure: Evidence from Brazilian Companies. (2009). Rossi, Jose ; Rossi, Jose Luiz J., .
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_189.

    Full description at Econpapers || Download paper

  15. Exchange Rate Exposure, Foreign Currency Debt and the Use of Derivatives: Evidence from Brazil. (2008). Junior, Jose L. R., .
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_141.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adler, M. ; Dumas, B. Exposure to currency risk: definition and measurement. 1984 Financial Management. 13 41-50
    Paper not yet in RePEc: Add citation now

  2. Allayannis, G. ; Ihrig, J. Exposure and markups. 2001 Review of Financial Studies. 14 805-835

  3. Allayannis, G. ; Ofek, E. Exchange rate exposure, hedging, and the use of foreign currency derivatives. 2001 Journal of International Money and Finance. 20 273-296

  4. Bartov, E. ; Bodnar, G.M. Firm valuation, earnings expectations and the exchange-rate exposure effect. 1994 Journal of Finance. 49 1755-1785

  5. Bartram, S.M. Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. 2004 Journal of International Money and Finance. 23 673-699

  6. Berndt, E.K. ; Hall, H.B. ; Hall, R.E. ; Hausman, J.A. Estimation and inference in nonlinear structural models. 1974 Annals of Economic and Social Measurement. 4 653-666

  7. Bodnar, G.M. ; Dumas, B. ; Marston, R.C. Pass-through and exposure. 2002 Journal of Finance. 57 199-231
    Paper not yet in RePEc: Add citation now

  8. Bodnar, G.M. ; Wong, M.H.F. Estimating exchange rate exposures: issues in model structure. 2003 Financial Management. 32 35-67

  9. Brunner, M. ; Glaum, M. ; Himmel, H. The DAX and the dollar: the economic exchange rate exposure of German corporations. 2000 Journal of International Business Studies. 31 715-724

  10. Carter, D.A., Pantzalis, C., Simkins, B.J., 2005. Asymmetric exposure to foreign-exchange risk: financial and real option hedges implemented by U.S. multinational corporations. Working Paper. Oklahoma State University, Stillwater, OK.
    Paper not yet in RePEc: Add citation now

  11. Choi, J.J. ; Prasad, A.M. Exchange risk sensitivity and its determinants: a firm and industry analysis. 1995 Financial Management. 24 77-88

  12. Chow, E.H. ; Lee, W.Y. ; Solt, M.E. The exchange-rate risk exposure of asset returns. 1997 Journal of Business. 70 105-123

  13. De Santis, G. ; Gerard, B. How big is the premium for currency risk?. 1998 Journal of Financial Economics. 48 375-412

  14. Di Iorio, A. ; Faff, R. An analysis of asymmetry in foreign currency exposure of the Australian equities market. 2000 Journal of Multinational Financial Management. 10 133-159

  15. Dumas, B. ; Solnik, B. The world price of foreign exchange risk. 1995 Journal of Finance. 50 445-479

  16. Engle, R.F. ; Ng, V.K. Measuring and testing the impact of news on volatility. 1993 Journal of Finance. 48 1749-1778

  17. Ihrig, J. ; Prior, D. The effect of exchange rate fluctuations on multinationals’ returns. 2005 Journal of Multinational Financial Management. 15 273-286
    Paper not yet in RePEc: Add citation now

  18. Jorion, P. The exchange rate exposure of U.S. multinationals. 1990 Journal of Business. 63 331-345

  19. Jorion, P. The pricing of exchange rate risk in the stock market. 1991 Journal of Financial and Quantitative Analysis. 26 363-376

  20. Koutmos, G. ; Knif, J. Estimating systematic risk using time varying distributions. 2002 European Financial Management. 8 59-73

  21. Koutmos, G. ; Martin, A.D. Asymmetric exchange rate exposure: theory and evidence. 2003 Journal of International Money and Finance. 22 365-383

  22. Koutmos, G. ; Martin, A.D. First and second moment exchange rate exposure: evidence from US stock returns. 2003 Financial Review. 38 455-471

  23. Kroner, K.F. ; Sultan, J. Time varying distributions and dynamic hedging with foreign currency futures. 1993 Journal of Financial and Quantitative Analysis. 28 535-551

  24. Martin, A.D. ; Madura, J. ; Akhigbe, A. Economic exchange rate exposure of U.S.-based MNCs operating in Europe. 1999 Financial Review. 34 21-26

  25. Pagan, A. Econometric issues in the analysis of regressions with generated regressors. 1984 International Economic Review. 25 221-247

  26. Patro, D.K. ; Wald, J.K. ; Wu, Y. Explaining exchange rate risk in world stock markets: a panel approach. 2002 Journal of Banking and Finance. 26 1951-1972

  27. Philipps, P.C.B. ; Perron, P. Testing for a unit root in time series regression. 1988 Biometrika. 75 335-346
    Paper not yet in RePEc: Add citation now

  28. Tai, C. Asymmetric currency exposure of U.S. bank stock returns. 2005 Journal of Multinational Financial Management. 15 455-472

  29. Williamson, R. Exchange rate exposure and competition: evidence from the automotive industry. 2001 Journal of Financial Economics. 59 441-475

Cocites

Documents in RePEc which have cited the same bibliography

  1. Executive pensions, risk-shifting, and foreign exchange exposure. (2016). Krapl, Alain A ; White, Reilly S.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:376-392.

    Full description at Econpapers || Download paper

  2. Asymmetric Exchange Rate Exposure in Indonesian Industry Sectors. (2015). Lestano, Lestano.
    In: MPRA Paper.
    RePEc:pra:mprapa:64357.

    Full description at Econpapers || Download paper

  3. Foreign exchange risk and the term-structure of industry costs of equity. (2015). Krapl, Alain ; Giaccotto, Carmelo .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:51:y:2015:i:c:p:71-88.

    Full description at Econpapers || Download paper

  4. Revisiting exchange-rate exposure through a microeconomic approach: French manufacturing firms profits and the euro. (2015). Mouradian, Florence .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/15237.

    Full description at Econpapers || Download paper

  5. Ripple effects from industry defaults. (2015). Wolff, Christian ; Pisa, Magdalena ; Bams, Dennis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10891.

    Full description at Econpapers || Download paper

  6. Industry Competition, Agency Problem, and Firm Performance. (2014). Chang, Ke-Chiun ; Jou, Yow-Jen ; Wang, Sue-Fung ; Wu, Kun-Wei .
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2014:i:4:p:76-93.

    Full description at Econpapers || Download paper

  7. Product Market Competition and Industry Returns. (2014). Donangelo, Andres ; Bustamante, Cecilia M..
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp728.

    Full description at Econpapers || Download paper

  8. Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets. (2014). Zhang, Zhaoyong ; Tsui, Albert ; Long, Ling .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:30:y:2014:i:c:p:10-24.

    Full description at Econpapers || Download paper

  9. Unfavorable Market Conditions, Institutional and Financial Development, and Exits of Foreign Subsidiaries. (2014). Song, Sangcheol .
    In: Journal of International Management.
    RePEc:eee:intman:v:20:y:2014:i:3:p:279-289.

    Full description at Econpapers || Download paper

  10. New estimates of time-varying currency betas: A trivariate BEKK approach. (2014). Zhang, Zhaoyong ; Tsui, Albert ; Jayasinghe, Prabhath .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:42:y:2014:i:c:p:128-139.

    Full description at Econpapers || Download paper

  11. Unconditional and conditional exchange rate exposure. (2013). Chaieb, Ines ; Mazzotta, Stefano .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:781-808.

    Full description at Econpapers || Download paper

  12. Foreign currency derivative use and shareholder value. (2013). Clark, Ephraim ; Belghitar, Yacine ; Mefteh, Salma .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:29:y:2013:i:c:p:283-293.

    Full description at Econpapers || Download paper

  13. Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets. (2012). Bodnar, Gordon ; Bartram, Söhnke.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:4:p:766-792.

    Full description at Econpapers || Download paper

  14. The use of foreign currency derivatives, corporate governance, and firm value around the world. (2012). Lel, Ugur ; Miller, Darius P. ; Allayannis, George .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:87:y:2012:i:1:p:65-79.

    Full description at Econpapers || Download paper

  15. Horizontal acquisitions and buying power: A product market analysis. (2011). Nain, Amrita ; Bhattacharyya, Sugato .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:97-115.

    Full description at Econpapers || Download paper

  16. Investigating sources of unanticipated exposure in industry stock returns. (2011). Hyde, Stuart ; Bredin, Don.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1128-1142.

    Full description at Econpapers || Download paper

  17. Sources of time-varying exchange rate exposure. (2010). Pierdzioch, Christian ; Kizys, Renatas.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:7:y:2010:i:4:p:371-390.

    Full description at Econpapers || Download paper

  18. Resolving the exposure puzzle: The many facets of exchange rate exposure. (2010). Bartram, Söhnke ; Minton, Bernadette A. ; Brown, Gregory W..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:95:y:2010:i:2:p:148-173.

    Full description at Econpapers || Download paper

  19. Fundamentals of corporate currency exposure. (2010). O'Brien, Thomas J..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:310-321.

    Full description at Econpapers || Download paper

  20. Exchange rate exposure: A nonparametric approach. (2009). Guldi, Melanie ; Aysun, Uluc.
    In: Working papers.
    RePEc:uct:uconnp:2009-18.

    Full description at Econpapers || Download paper

  21. Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure. (2009). Bartram, Söhnke ; Minton, Bernadette ; Brown, Gregory W..
    In: MPRA Paper.
    RePEc:pra:mprapa:14041.

    Full description at Econpapers || Download paper

  22. Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets. (2008). Bodnar, Gordon ; Bartram, Söhnke.
    In: MPRA Paper.
    RePEc:pra:mprapa:14018.

    Full description at Econpapers || Download paper

  23. Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets. (2008). Bodnar, Gordon ; Bartram, Söhnke.
    In: MPRA Paper.
    RePEc:pra:mprapa:13064.

    Full description at Econpapers || Download paper

  24. Exchange Rate Exposure, Foreign Currency Debt and the Use of Derivatives: Evidence from Brazil. (2008). Junior, Jose L. R., .
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_141.

    Full description at Econpapers || Download paper

  25. Can hedging tell the full story? Reconciling differences in United States aggregate- and industry-level exchange rate risk premium. (2008). HASAN, IFTEKHAR ; Francis, Bill B. ; Hunter, Delroy M..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:2:p:169-196.

    Full description at Econpapers || Download paper

  26. What lies beneath: Foreign exchange rate exposure, hedging and cash flows. (2008). Bartram, Söhnke.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:8:p:1508-1521.

    Full description at Econpapers || Download paper

  27. Does hedging tell the full story? : Reconciling differences in US aggregate and industry-level exchange rate risk premia. (2008). HASAN, IFTEKHAR ; Francis, Bill B ; Hunter, Delroy M.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2008_014.

    Full description at Econpapers || Download paper

  28. Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk. (2007). Bartram, Söhnke.
    In: MPRA Paper.
    RePEc:pra:mprapa:6662.

    Full description at Econpapers || Download paper

  29. Modeling time variation and asymmetry in foreign exchange exposure. (2007). Martin, Anna D. ; Koutmos, Gregory .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:17:y:2007:i:1:p:61-74.

    Full description at Econpapers || Download paper

  30. Linear and nonlinear exchange rate exposure. (2007). priestley, richard ; Ødegaard, Bernt ; Odegaard, Bernt Arne .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:6:p:1016-1037.

    Full description at Econpapers || Download paper

  31. Privatization and stock market liquidity. (2007). Schindele, Ibolya ; Nicodano, Giovanna ; de Jong, Frank ; Bortolotti, Bernardo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:2:p:297-316.

    Full description at Econpapers || Download paper

  32. Corporate cash flow and stock price exposures to foreign exchange rate risk. (2007). Bartram, Söhnke.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:13:y:2007:i:5:p:981-994.

    Full description at Econpapers || Download paper

  33. Foreign exchange risk exposure: Survey and suggestions. (2006). Verschoor, Willem ; Muller, Aline ; Verschoor, Willem F. C., .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:4:p:385-410.

    Full description at Econpapers || Download paper

  34. Issue costs in the Eurobond market: The effects of market integration. (2006). Melnik, Arie ; Nissim, Doron .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:1:p:157-177.

    Full description at Econpapers || Download paper

  35. Exchange rate exposure. (2006). Tesar, Linda ; Dominguez, Kathryn ; Dominguez, Kathryn M. E., .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:68:y:2006:i:1:p:188-218.

    Full description at Econpapers || Download paper

  36. Measuring the economic importance of exchange rate exposure. (2006). Doidge, Craig ; Williamson, Rohan ; Griffin, John .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:4-5:p:550-576.

    Full description at Econpapers || Download paper

  37. The impact of the introduction of the Euro on foreign exchange rate risk exposures. (2006). Karolyi, G. ; Bartram, Söhnke.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:4-5:p:519-549.

    Full description at Econpapers || Download paper

  38. The Exchange Rate Exposure Puzzle. (2005). Bodnar, Gordon ; Bartram, Söhnke.
    In: MPRA Paper.
    RePEc:pra:mprapa:6482.

    Full description at Econpapers || Download paper

  39. Exchange rate pass-through to U.S. import prices: some new evidence. (2005). Vigfusson, Robert ; Sheets, Nathan ; Rogers, John ; Martin, Robert ; Gagnon, Joseph ; Marquez, Jaime ; Reeve, Trevor ; Marazzi, Mario ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:833.

    Full description at Econpapers || Download paper

  40. A primer on the exposure of non-financial corporations to foreign exchange rate risk. (2005). Bartram, Söhnke ; Dufey, Gunter ; Frenkel, Michael R..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:15:y:2005:i:4-5:p:394-413.

    Full description at Econpapers || Download paper

  41. The Effects of the Exchange Rate on Investment: Evidence from Canadian Manufacturing Industries. (2005). Harchaoui, Tarek ; Tarkhani, Faouzi ; Yuen, Terence .
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-22.

    Full description at Econpapers || Download paper

  42. Liquidity and Issue Costs in Eurobond Market: The Effects of Market Integration. (2004). Melnik, Arie ; Nissim, Doron .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:48.

    Full description at Econpapers || Download paper

  43. Liquidity and Issue Costs in the Eurobond Market: the Effects of Market Integration.. (2004). Melnik, Arie ; Nissim, Doron .
    In: ICER Working Papers.
    RePEc:icr:wpicer:03-2004.

    Full description at Econpapers || Download paper

  44. Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. (2004). Bartram, Söhnke.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:23:y:2004:i:4:p:673-699.

    Full description at Econpapers || Download paper

  45. The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures. (2004). Karolyi, G. ; Bartram, Söhnke.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2005-3.

    Full description at Econpapers || Download paper

  46. The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures. (2002). Karolyi, G. ; Bartram, Söhnke ; Kleimeier, Stefanie.
    In: Finance.
    RePEc:wpa:wuwpfi:0207005.

    Full description at Econpapers || Download paper

  47. Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations. (2002). Bartram, Söhnke.
    In: Finance.
    RePEc:wpa:wuwpfi:0207001.

    Full description at Econpapers || Download paper

  48. Multinational corporations and hedging exchange rate exposure. (2002). Crabb, Peter.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:11:y:2002:i:3:p:299-314.

    Full description at Econpapers || Download paper

  49. Trade and Exposure. (2001). Tesar, Linda ; Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: American Economic Review.
    RePEc:aea:aecrev:v:91:y:2001:i:2:p:367-370.

    Full description at Econpapers || Download paper

  50. Trade and Exposure. (2000). Tesar, Linda ; Dominguez, Kathryn ; Kathryn M. E Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:466.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 03:09:26 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.