The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies
| dc.contributor.author | Agyei-Ampomah, S. | - |
| dc.contributor.author | Mazouz, K. | - |
| dc.contributor.author | Yin, S. | - |
| dc.date.accessioned | 2014-04-02T04:00:21Z | |
| dc.date.available | 2014-04-02T04:00:21Z | |
| dc.date.issued | 2013-09-30T00:00:00Z | - |
| dc.description.abstract | 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. | en_UK |
| dc.identifier.citation | Sam Agyei-Ampomah, Khelifa Mazouz, Shuxing Yin, The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies, International Review of Financial Analysis, Volume 29, September 2013, Pages 251–260. | |
| dc.identifier.issn | 1057-5219 | - |
| dc.identifier.uri | http://dx.doi.org/10.1016/j.irfa.2012.05.006 | - |
| dc.identifier.uri | http://dspace.lib.cranfield.ac.uk/handle/1826/8374 | |
| dc.language.iso | en_UK | - |
| dc.publisher | Elsevier Science B.V., Amsterdam. | en_UK |
| dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, Volume 29, September 2013, Pages 251–260. http://dx.doi.org/10.1016/j.irfa.2012.05.006 | |
| dc.title | The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies | en_UK |
| dc.type | Article | - |