기업 금융안정지표로서의 환율변동성노출 측정과 기업성과와의 관계 분석

초록

Main objectives of this paper are twofold: (1) it suggests how to measure foreign exchange volatility exposure (FXVE), which has not been taken into account for corporate financial stability indices, (2) it also examines the academic and empirical implications of explores FXVE, which are different from the conventional foreign exchange exposure (FXE). The authors establish an challenging measurement of FXVE by employing Bodnar and Marston(2002)’s approach based on Gómez and Milgram(2010)’s. The main findings are: FXE is not significantly associated with risk-adjusted performance (RAP) while FXVE is positively associated with RAP; the financial hedging activities are not significantly associated with RAP; Most firm-specific advantages are positively or negatively associated with RAP; finance-specific advantages are also positively or negatively associated with RAP; In contrast, stock price return is not significantly associated with RAP.

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