Good News and Bad News about Firm-Level Stock Returns of Internationally Exposed Firms

被引：5

作者：

Giaccotto, Carmelo ^{[1
]}

Krapl, Alain ^{[2
]}

机构：

[1] Univ Connecticut, Dept Finance, Sch Business, Storrs, CT USA

[2] No Kentucky Univ, Haile US Bank Coll Business, Highland Hts, KY 41099 USA

来源：

INTERNATIONAL REVIEW OF FINANCE | 2014年 / 14卷 / 04期

关键词：

EXCHANGE-RATE EXPOSURE; VARIANCE DECOMPOSITION; CASH-FLOW; RATE RISK; EXPECTATIONS; DIVIDENDS;

D O I：

10.1111/irfi.12033

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine stock returns of firms with international exposure. Our empirical work relies on Campbell's variance decomposition framework. Not surprisingly, we find that the volatility of discount rate and cash flow news increase with the degree of international exposure. As firms globalize, the cash flow effect is good news, while the discount rate effect amounts to bad news. The surprising result is that the covariance between the news terms increases with international exposure. This finding provides indirect evidence for the proposition that foreign exchange (FX) risk is a priced factor in the cross-section of risk-adjusted expected returns.

引用

页码：523 / 550

页数：28

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