The Measurement and Determinants Analysis of Exchange Rate Exposure —Empirical evidence from Chinese Textile and Garment Industry

摘要

Based on the Fama-French three factor model, this paper measures the RMB exchange rate exposure of Chinese textile and garment listed companies. Further, this paper examines the determinants of RMB exchange rate exposure. The result shows that 25.6% textile and garment enterprises face significant exchange rate exposure. The paper concludes that the degree of exposure is negatively related to debt ratio and the book to market ratio, and positively related to profit margin and asset tangibility.