THE EXCHANGE-RATE EXPOSURES: EVIDENCE FROM THE U.S. HOLDING AND INVESTMENT OFFICES INDUSTRY

摘要

This study reexamined the subject of exchange rate exposure from the aspects of sample firms, potential explanatory factors, size effect, and nonstationarity. These issues are investigated by applying a size-portfolio approach to the U.S. Holding & Other Investment Offices industry. Regression results indicate the existence of nonstationarity in the risk exposure coefficients of portfolio returns. Firms in the Holding & Other Investment Offices industry were more influenced by changes in the exchange rates during the period from 1985 to 1997. Yet, insignificant exposure coefficient of the time-varying conditional variance implies that sampling firms were able to hedge successfully against the exchange rate uncertainty.