Foreign Exchange Exposures of Korean Firms

Sungbin Cho (scho@kdi.re.kr) and Min-Kyu Song (mksong@kif.re.kr)
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Sungbin Cho: Korea Development Institute
Min-Kyu Song: Korea Institute of Finance

East Asian Economic Review, 2011, vol. 15, issue 1, 55-86

Abstract: We measure foreign exchange exposures as sensitivity of firm's value to FX premium in the CAPM plus FX premium model, and try to find determinants of the exposures; using data of non-financial companies listed in the Korea Exchange from the year 2007 to 2008. Main findings are as follows. If Korean won depreciates, only a small number of firms is benefitted while majority of firms are harmed to the contrary of common knowledge. As a firm's export increases, the foreign exchange exposure increases up to a certain level and after that it declines. And, smaller firms of negative foreign exchange exposures are more sensitive to foreign exchange changes.These sugges thet erogeneouseffectsofforeignexchangerateson industries and firms.

Keywords: Foreign Exchange Exposure; Foreign Currency Premium; CAPM (search for similar items in EconPapers)
JEL-codes: F21 G32 O24 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0096

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