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- W3148029811 abstract "Most of previous studies have not been successful in finding significant currency exposure. One possible explanation for this failure is that these studies ignore the asymmetric relationship between the value of a firm and exchange rate. Consequently, in this paper, I explore the possibility of asymmetric currency exposure using US bank stocks. The empirical results show that more than 80% of the sample are significantly exposed to exchange rate changes in a asymmetric way based on the tests of multi-factor model with multivariate GARCH parameterization. This empirical finding is robust to whether contemporaneous or lagged exchange rates changes are used to estimate the model. The strong evidence of asymmetric currency exposure suggests that both asymmetry and conditional heteroskedasticity play important roles in estimating currency exposure." @default.
- W3148029811 created "2021-04-13" @default.
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- W3148029811 date "2005-01-02" @default.
- W3148029811 modified "2023-09-24" @default.
- W3148029811 title "Asymmetric Currency Exposure of US Bank Stock Returns" @default.
- W3148029811 hasPublicationYear "2005" @default.
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