Estimating the exchange rate exposure of US multinational firms: Evidence from an event study methodology

Kathryn L. Dewenter, Robert C. Higgins, Timothy T. Simin

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This paper provides new evidence on the issue of whether or not there is a contemporaneous relation between the dollar and firm value as measured with stock returns. Prior studies have failed to find any short-term relation between the value of the dollar and the stock price reactions of U.S. multinational firms. Using a different methodology than previous studies, we find a significant average negative drop in stock price across 430 firms on the day that Thailand devalued the bhat, initiating Asia's financial crisis. We also show that this measure of exposure is related to both firm size and several proxies for intensity of foreign and Asian operations.

Original languageEnglish (US)
Title of host publicationRisk Management
Subtitle of host publicationChallenge and Opportunity
PublisherSpringer Berlin Heidelberg
Pages557-569
Number of pages13
ISBN (Print)3540226826, 9783540226826
DOIs
StatePublished - Dec 1 2005

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)

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