환노출은 변화할 때만 의미를 가진다 : 동태적 환노출과 바이오기업의 기업가치

초록

This study examines the impact of foreign exchange exposure on firm-level stock returns, with a particular focus on its dynamic and asymmetric characteristics. Using panel data from 160 publicly listed biotechnology firms in the Korean KOSPI and KOSDAQ markets over the period from 2014 to 2025, we estimate four empirical models incorporating static exposure, time-varying (rolling) exposure, asymmetric exposure, and dynamic asymmetric exposure. The results indicate that static foreign exchange exposure does not have a statistically significant effect on stock returns. In contrast, time-varying exposure exhibits a positive and significant impact, suggesting that investors respond more strongly to changes in exchange rate sensitivity rather than to its average level. Furthermore, asymmetric exposure—reflecting differential responses to currency appreciations and depreciations—is not statistically significant in either static or dynamic specifications. This finding implies that the direction of exchange rate movements is less important than the variability of exposure itself. By reconceptualizing foreign exchange exposure as a dynamic rather than a static phenomenon, this study contributes to resolving the longstanding exchange rate exposure puzzle. Focusing on the biotechnology industry, which is characterized by high uncertainty, the study further highlights the industry-specific nature of exchange rate sensitivity. The findings provide important implications for both firms and investors, emphasizing the need to consider the evolving nature of exposure in decision-making.

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