Exchange rate risk exposure and the value of European firms

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected fluctuations in the USD, JPY, GBP and CHF against the Euro, and show that the proportion of firms subject to exchange rate risk is considerably larger when estimation accounts for potential common drivers and firm-specific factors than otherwise. Firm exposure to exchange rate risk is affected by the level of international involvement, industry, firm size and country of origin. European firms with largely domestic operations reveal the greatest vulnerability to unexpected exchange rate movements, suggesting an opportunity to improve risk management for these companies.     

Trades outside the quotes: Reporting delay,trading option,or trade size?

In the period 1993 through 2002 examined in this study, quoted and effective spreads declined substantially on Nasdaq and to a lesser degree on the NYSE. At the same time, however, trades outside the quotes increased dramatically on Nasdaq. Because investors would prefer to trade at the quotes rather than outside the quotes, we examine why trades outside the quotes are observed. We focus on how the continuous market mechanism itself influences the outcome of orders and the reporting of trades, and we conclude that slippage exists in the market mechanism. Outside-trades occur on Nasdaq, first, because of delays in reporting trades, second, because the ability of dealers to delay execution of trades creates a look-back option, which when exercised results in outside-trades, and third, because large trades can take place at prices outside the quotes. Outside-trades are rarely observed on the NYSE because the market is more centralized. While the pattern of trading on the NYSE is not inconsistent with the presence of a look-back option, our tests provide no direct evidence that specialists are exercising such an option.     

日本投资与经贸风险分析报告

外国直接投资状况由于地价、租金、税收和工资均远高于周边国家,外国投资的成本很高,外国对日本直接投资不活跃。外国直接投资额对日本经济的影响较小,2006年底累计外国投资金额约占日本GDP的2．5％。近年,日本政府将外国直接投资视作重振经济的关键,加大吸引外国投资力度,放宽外资进入日本的限制,计划到2010年将外国对日本直接投资占ODE的比率提高到5％。     

波兰投资与经贸风险分析报告

投资状况 外国直接投资状况 近年来,波兰一直是外商直接投资的净流入国。据波兰官方统计,2006年波兰吸引外国直接投资达147亿美元。到2006年底,外国公司累计在波兰投资1080亿美元。波兰吸引外国直接投资在中东欧地区保持领先地位,经过大规模私有化后短期出现下降现象,近年重拾升势,入盟后增长加快,外资企业盈利进行再投资明显增加。波兰吸收的外资主要来自欧盟,对波兰投资的主要欧盟国家为法国、荷兰、德国。在波投资的非欧盟国家主要有瑞士、     

印度投资与经贸风险分析报告

投资状况 外国直接投资状况 2003财政年度以来,印度的外国直接投资增长迅速,2006财政年度一举突破了100亿美元,达到157．3亿美元,比2005财政年度增长184％。2006年印度已经超过韩国,成为亚洲第四大外国投资吸纳国。外国投资的快速增长体现了外国公司对印度经济的信心增强,愿意对印度进行较长期的投资,这也是印度逐步放松管制的体现。     

罗马尼亚投资与经贸风险分析报告

外国直接投资状况 1990年以来,罗马尼亚吸引外资明显分为两个阶段。20世纪90年代前半期,由于经济和政治形势不稳定,外国直接投资较少。90年代后半期以来,随着罗马尼亚经济形势不断好转,经济转型力度加大,投资环境进一步改善,国际资本对罗马尼亚市场信心不断增强,外国直接投资大幅增长。     

土耳其投资与经贸风险分析报告

进入21世纪以来,随着土耳其政局日趋稳定,经济形势逐渐好转,投资环境逐步得到改善,近年来外国直接投资增长较快,FDI流入量急剧增加,对经济增长的拉动作用日渐显著。2002年,土耳其FDI流入量仅11．4亿美元,占GDP的比重为0．6％。2004年,上升为28．8亿美元,占GDP的比重为1．0％。2006年,土耳其外国直接投资额达201．2亿美元,占GDP的比重达5．0％。土耳其外资流入存量增长明显。2002年,外资流入累计存量为187．9亿美元,2005年增至644．0亿美元,2006年则有843．2亿美元。2005～2006年,外商直接投资主要流向土耳其银行业和电信业。     

秘鲁投资与经贸风险分析报告

投资状况 外国直接投资状况 秘鲁政府采取一系列吸引外资的措施,向外国资本开放各经济领域,使外国投资逐年增加。2006年,秘鲁吸引外国直接投资34．7亿美元,比2005年增加9．5亿美元。1991～2006年期间,秘鲁吸收的外国直接投资总额累计311．2亿美元。西班牙是对秘鲁投资最多的国家,其次是英国、美国和荷兰。     

Bookbuilding,the option to withdraw,and the timing of IPOs

The ability to withdraw IPOs when demand is weak increases expected proceeds and provides issuers with option value. To enhance this value, the SEC adopted in 2001 the ‘public-to-private’ safe harbor Rule 155 and simplified Rule 477 for withdrawing offerings. The option value can exceed the underpricing associated with soliciting investor demand. Hence, issuers might prefer bookbuilding despite the associated underpricing even if they could sell via fixed price at full expected value. The option value increases faster than underpricing with ex ante uncertainty, generating predictions regarding the use of bookbuilding and the timing of IPOs, and leading to a distinct theory of hot IPO markets.     

警惕鞋类出口的中间商风险

要警惕信誉不佳或风险承受能力较弱的中间商,这些中间商常常无视自己的合同义务,当最终买家因种种原因未按时付款或拒收货物时,常常以此为理由延迟甚至拒绝对出口商付款     

Expected returns, risk premia, and volatility surfaces implicit in option market prices

This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. A non-zero correlation between jumps and diffusive risks is necessary in order to resolve the positively sloped implied volatility term structure inherent in traditional jump diffusion models. Our evidence is consistent with a negative covariance, producing a non-monotonic term structure. For the proposed market structure, we present a closed form asset pricing model that depends on the factors of the traditional jump-diffusion models, and on both the covariance of the diffusive pricing kernel with price jumps and the covariance of the jumps of the pricing kernel with the diffusive price. We present statistical evidence that these covariances are positive. For our model the expected stock return, jump and diffusive risk premiums are non-linear functions of time.     

谨防贸易主体多样化的风险

因贸易主体多样化的交易中,涉及到多个主体,甚至多个国别,其风险状况变数大,出口商应密切关注各个主体的角色,不仅要关注合同主体,还应关注下游的收货人,有关联公司参与交易时还应关注关联公司的经营状况     

Information flow between the stock and option markets: Where do informed traders trade?

This paper investigates the flow of information between the equity and options markets. We argue that informed traders, in deciding where to place their trades, are not entirely indifferent to option moneyness, degree of information asymmetry, and option liquidity. Unlike some previous studies that find information to flow unilaterally from equity to options markets, we control for the above factors and discover feedback relations between trades in out-of-the-money (OTM) options and the underlying equities. The finding is consistent with the pooling equilibrium hypothesis, which asserts that informed traders trade in both the equity and options markets. Some informed traders are probably attracted to the out-of-the money options because of their higher liquidity, lower premiums, and higher delta-to-premium ratios, hence, lending support to the liquidity and leverage hypothesis.     

Internationalization,foreign exchange exposure and firm risk

This paper examines the effect of internationalization on variation in operating performance. Analyzing a sample of non-financial firms in Switzerland during 2000–2020, we document two key findings. First, internationalization is positively associated with variation in operating performance. However, neither operational-hedging internationalization nor revenue-seeking internationalization moderates the relation between internationalization and variation in operating performance. Second, our findings show that the unhedged foreign exchange exposure neither strengthens nor weakens the effect of internationalization on variation in operating performance. Further analyses show that internationalization is not associated with firm performance.     

Downside risk aversion,fixed-income exposure,and the value premium puzzle

The value premium is relatively small for investors with a material fixed-income exposure, such as insurance companies and pension funds, especially when they are downside-risk-averse. Value stocks are less attractive to these investors because they offer a relatively poor hedge against poor bond returns. This result arises for plausible, medium-term evaluation horizons of around one year. Our findings cast doubt on the practical relevance of the value premium for these investors and reiterate the importance of the choice of the relevant test portfolio, risk measure and investment horizon in empirical tests of market portfolio efficiency.     

荷兰投资与经贸风险报告

外国直接投资状况荷兰是欧洲大陆吸引外国直接投资最多的国家之一,近两年吸引的外国直接投资实现恢复性增长。2005年,外国对荷兰直接投资净值为404．2亿美元,较上年增长93．4％;2006年,吸引外国直接投资有所回落,为377．9亿美元。截至2006年底,外国在荷兰直接投资存量达到4507．6亿美元。     

Exchange option pricing under stochastic volatility: a correlation expansion

Efficient valuation of exchange options with random volatilities while challenging at analytical level, has strong practical implications: in this paper we present a new approach to the problem which allows for extensions of previous known results. We undertake a route based on a multi-asset generalization of a methodology developed in Antonelli and Scarlatti (Finan Stoch 13:269–303, 2009) to handle simple European one-asset derivatives with volatility paths described by Ito’s diffusive equations. Our method seems to adapt rather smoothly to the evaluation of Exchange options involving correlations among all the financial quantities that specify the model and it is based on expanding and approximating the theoretical evaluation formula with respect to correlation parameters. It applies to a whole range of models and does not require any particular distributional property. In order to test the quality of our approximation numerical simulations are provided in the last part of the paper.     

Exchange rate exposure in the Asian emerging markets

This paper investigates the impact of foreign exchange rate change on stock returns in the Asian emerging markets. The asymmetric exchange exposure framework and real exchange rates are used in this paper to capture the different exposures between currency appreciation and depreciation and the high inflation effect in the emerging markets. My empirical results show that there did exist extensive exchange rate exposure in the Asian emerging markets from 1997 to 2010. Moreover, foreign exchange exposure became more significant or greater during the 1997 Asian crisis and the 2008 global crisis periods, despite the frequent central banks’ interventions during these periods. The greater exchange exposure during the crisis periods can be attributable to net exporters or firms with dollar assets, implying that firms can reduce exchange exposures by decreasing their export ratio or dollar assets holding during times of crisis.     

乌克兰投资与经贸风险分析报告

投资状况外国直接投资状况乌克兰重视利用外国直接投资。但在独立后的数年时间内,外国直接投资增长速度不快,1994年为1.6亿美元,2001年为8亿美元。2004年以     

芬兰投资与经贸风险分析报告

投资状况 外国直接投资状况 近两年,芬兰吸引的外国直接投资额稳步增长,2006年为43．9亿欧元,2007年增至63．4亿欧元,在GDP中所占的份额分别为2．6％和3．5％。欧盟成员国是芬兰外国直接投资的主要来源地,占其引资总额的90％以上,瑞典因为邻近芬兰而成为其最大的外资来源国,其他主要外资来源国还包括荷兰、英国、德国、丹麦、卢森堡和美国等。