Exchange rate variability and the riskiness of US multinational firms: Evidence from the breakdown of the Bretton Woods system

• 成果类型: Article
• 署名作者: Bartov, E; Bodnar, GM; Kaul, A
• 署名单位: University of Pennsylvania; New York University; University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00873-D
• 发表日期: 1996
• 页码: 105-132
• 关键词: multinational firms; exchange rate variability; stock return volatility; Market risk

摘要

We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for three control samples. In conjunction with this increase in total volatility there is also an increase in market risk (beta) for multinational firms.