Browsing by Author "Agyei-Ampomah, S."
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Item Open Access The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies(Elsevier Science B.V., Amsterdam., 2013-09-30T00:00:00Z) Agyei-Ampomah, S.; Mazouz, K.; Yin, S.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.