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Choi and Prasad (1995) observed around 409 US multinational firms’ sensitive exchange rate during a period starting on January 1978 and ending December 1989. They documented that there were 61 of 409 U.S. firms with significant exchange rate exposure. Over the entire estimation period, only 2 out of 10 industries (other retailing and mining) were significantly exposed to currency fluctuations. In addition, they also investigated a positive mean significance coefficient was 0.16 that indicated there was a negative relationship between the US dollar changes and the firm vale. It was different from Jorion (1990). Several surveys found evidences to prove the time value, firm size and foreign sales as impact factors to influence the companies or industries face the exchange rate risks. For sets of firm size studies, Nance et al. (1993) addressed the relevance of hedging to firm level. The finding analyzed the purpose and incentives for using derivatives. Furthermore, the investigation showed that exchange rate exposure is less for larger firms than for smaller firms. Bartov and Bodnar (1994) indicated the contemporaneous and lagged exchange rate effects of the firms’ past annual financial statements and exposures have a same meaning. Chow et al. (1997a) considered the exchange rate risk related the stock return with a sample of 213 US multinational firms which with the diversified equity portfolios during the period 1977 to 1991. It was empirical the movements of exchange rate are important in short-term fluctuation stock returns. He found that all assets are exposed to the exchange rate risks and there was a significant combination with exchange rate exposure. In addition, they found the the exchange rate risks on stock returns by using transaction exposure, economic exposure and interest rates changes cooperate with exchange rate movements.In the same year, Chow et al. (1997b) measured the extra-market of 213 US firms about the correlations between the exchange rate exposure and the stock return by using monthly data from the year 1977 to1989. They found only few of significant relationship between the stock returns and movements in exchange rate at same period. The significant exchange rate exposure increasing concerned with the length of the stock return level in either a large or small firms. However both negative and positive of the movements exposed to exchange rate across all horizons. As a result, they suggested that from these two examinations, it would have a significant relationship between firm size and exposure. (See, He and Ng 1998, Nydahl 1999, De Jong et al. 2006) Dekle (2005) demonstrated about the exchange rate exposure effects on the foreign competitive structure of markets and firm level. He found there was a relationship between the exposure and foreign producers. With the increasing foreign producers, the exchange rate exposure is increased as well. However, the sessions also examined the substitutability type of competition among exports. At last he found that the colluding exporters were more higher exposed than competing exporters when increased the substitutability. |
