ITEM METADATA RECORD
Title: Equities' exposures to currencies: Beyond the loglinear model
Authors: Boudt, Kris
Liu, Fang
Sercu, Piet
Issue Date: Feb-2012
Publisher: KU Leuven - Faculty of Business and Economics
Series Title: FBE Research Report AFI_1267
Abstract: It has been surprisingly difficult to demonstrate non-zero currency exposures for individual stocks, and a recent study even finds that the absolute value of estimated exposure is a better predictor than the value itself. We argue that the value of the international-trade option
should be convex in the exchange rate so that exposure depends on the exchange rate level.
Since spot rates move slowly, exposure could then differ substantially across samples. Many large companies, in addition, must be ambidextrous|positively exposed in some activities, and negatively in others. We derive a class of tractable regression models and find that the standard loglinear regression is invariably beaten by the proposed alternative. However, too often we detect at least a partial concavity.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Onderzoekseenheid Financieel Management @ Thomas More Antwerpen
Faculty of Economics and Business (FEB) - miscellaneous
Research Center Finance @ Leuven
Research Center International Finance @ Leuven

Files in This Item:
File Description Status SizeFormat
AFI_1267.pdf Published 397KbAdobe PDFView/Open

 


All items in Lirias are protected by copyright, with all rights reserved.