Corporate cash flow and stock price exposures to foreign exchange rate risk

by: Sohnke M Bartram

Journal of Corporate Finance, Vol. 13, No. 5. (December 2007), pp. 981-994.

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Abstract

This paper estimates the foreign exchange rate exposure of 6917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors.

@article{citeulike:2022128, abstract = {This paper estimates the foreign exchange rate exposure of 6917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors.}, author = {Bartram, Sohnke M. }, citeulike-article-id = {2022128}, doi = {http://dx.doi.org/10.1016/j.jcorpfin.2007.05.002}, journal = {Journal of Corporate Finance}, keywords = {equity, fx, hedge}, month = {December}, number = {5}, pages = {981--994}, posted-at = {2007-11-30 05:46:52}, priority = {3}, title = {Corporate cash flow and stock price exposures to foreign exchange rate risk}, url = {http://dx.doi.org/10.1016/j.jcorpfin.2007.05.002}, volume = {13}, year = {2007} }

RIS record

TY - JOUR ID - citeulike:2022128 L3 - citeulike-article-id:2022128 TI - Corporate cash flow and stock price exposures to foreign exchange rate risk JF - Journal of Corporate Finance VL - 13 IS - 5 SP - 981 EP - 994 N2 - This paper estimates the foreign exchange rate exposure of 6917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors. KW - equity KW - fx KW - hedge AU - Bartram, Sohnke PY - 2007/12// UR - http://dx.doi.org/10.1016/j.jcorpfin.2007.05.002 ER -

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