EconPapers    
Economics at your fingertips  
 

Asymmetric foreign exchange cash flow exposure: A firm-level analysis

Alain A. Krapl

Journal of Corporate Finance, 2017, vol. 44, issue C, 48-72

Abstract: This study analyzes foreign exchange (FX) cash flow and equity exposures of a sample of U.S. multinational firms. Focusing on asymmetry in FX cash flow exposures to direction and magnitude of FX shocks, the study finds that asymmetry is pervasive in several alternative measures of FX cash flow exposure. Also, after decomposing FX equity exposures into discount rate and cash flow components, the study documents significant asymmetries in FX discount rate exposures. The latter finding implies that market-related factors in addition to cash flow–based arguments need to be considered when further exploring FX equity exposure. This study also highlights the importance of model specification: models with asymmetric specifications detect more firms with significant FX exposures.

Keywords: Foreign exchange (FX) exposure; Asymmetric FX exposure; FX cash flow exposure; FX discount rate exposure; FX exposure puzzle (search for similar items in EconPapers)
JEL-codes: G32 G39 G15 F39 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0929119917301384
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:corfin:v:44:y:2017:i:c:p:48-72

Access Statistics for this article

Journal of Corporate Finance is currently edited by A. Poulsen and J. Netter

More articles in Journal of Corporate Finance from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-11-11
Handle: RePEc:eee:corfin:v:44:y:2017:i:c:p:48-72