Estimating Exchange Rate Exposures: Issues in Model Structure

By Gordon M. Bodnar, Paul H. Nitze. 2003

313 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e5a0b17ee078c82088be510878df6afe026ece26

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Citations in the corpus

What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows (2007, unknown): “As Bodnar and Wong (2003) point out, the unavailability of suitable cash flow data makes the”
The exchange rate exposure puzzle (2005, unknown): “Nevertheless, several studies use data adjusted for inflation, or both, real and nominal data, and typically find little different results in short horizons (see e.g. Bodnar and Wong, 2003; Choi and Prasad, 1995; Booth and Rothenberg, 1990).”
The impact of the introduction of the Euro on foreign exchange rate risk exposures (2006, unknown): “…studies have had limited success in empirically identifying significant exposures of nonfinancial firms with regard to unexpected changes in exchange rates (Bodnar and Wong, 2003; Griffin and Stulz, 2001; He and Ng, 1998; Bartov et al., 1996; Prasad and Rajan, 1995; Bartov and Bodnar, 1994).”
Foreign exchange risk exposure: Survey and suggestions (2006, background): “Using consecutively equally-weighted, value-weighted and firm size-matched market portfolios, Bodnar and Wong (2003) are the first to demonstrate the importance of the definition of the stock market risk factor.”
Does Hedging Affect Firm Value? Evidence from the US Airline Industry (2006, unknown): “When examining currency exposures, Bodnar and Wong (2003) point out that using the value-weighted index can distort the sign and size of the resulting exposures because of an inherent relation between market capitalization and exposure.”
Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure (2010, result): “, choice of exchange rate and market index as in Bodnar and Wong (2003)], our specification is consistent with much of the current literature.”
Emerging market exchange rate exposure (2008, unknown): “Bodnar and Wong (2003) provide a careful discussion of the motivation for this approach, and further show that the construction of the market control variable can have a substantial influence on the sign and size of the exposure estimates.”
Measuring the economic importance of exchange rate exposure (2006, background): “firms, Bodnar and Wong (2003) show that the choice of market portfolio (value-weight vs.”
Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets (2012, unknown): “…and subsequent 2 Generally, these papers document a percentage of firms with significant exposures that is seldom more than twice the level of statistical significance; though subsequent work has improved upon this by changing the return horizon (Chow Lee and Solt, 1997; Bodnar and Wong, 2003).”