Exchange rate uncertainty and corporate values: evidence from Taiwan

Chien-Chung Nieh, Jeng-Bau Lin and Yu-shan Wang

Applied Financial Economics, 2008, vol. 18, issue 14, 1181-1192

Abstract: This article first presents a derivation of a theoretical model, which shows that, if the discount rate is large enough, the exchange rate uncertainty (volatility) affects positively the corporate values under the circumstance where competitive firms are risk-averse. Empirical studies are then implemented to test for the relationships between the uncertainty and the corporate values among ten industries investigated in Taiwan. The empirical evidence indicates that there exist long-run equilibrium relationships between the uncertainty and the corporate values among the industries of food, glass, electricity, paper, rubber and steel. The corporate values for each industry are also significantly affected by their previous-period values. Using the Granger causality test for the other four industries, the results find that this uncertainty only has a one-way leading effect on itself.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100701578973 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:18:y:2008:i:14:p:1181-1192

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100701578973

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().