文章基本信息

标题：Analysis of Foreign Currency Exposure of the New Zealand Stock Market
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作者：Robin H.Luo ; Nuttawat Visaltanachoti ; Puspakaran Kesayan 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2006
卷号：3
期号：1
页码：132-140
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper analyses the impact of foreign currency exposure on the value of the New Zealand public listed companies using the New Zealand/US exchange rate and Trade Weighted Index factor return.Augmented market model(Adler and Dumas,1984;Di Iorio and Faff,2000;Dominguez and Tesar,2001)would be employed to study the relationship between exchange rate movements and firm value.Using daily data,we test the following hypotheses in this paper:a) Foreign currency exposure is a function of firm's size and its industry affiliation;b)Foreign cur?rency exposure is a function of financial indicators,such as dividend yield,liquidities and P/E ra?tio.However,we find very weak and ambiguous evidence for the foreign currency exposure on the value of New Zealand companies.
关键词：Foreign Currency Exposure;New Zealand.