Relationship Between Changes in Exchange Rate and Firm Valuation Analyzed by the Threshold Regression Model
碩士 === 國立高雄第一科技大學 === 財務管理所 === 97 === The previous study finds that the variables of the company characteristics are the main decision of exchange rate exposure, but the dependence of the variables of the company characteristics and exchange rate exposure doesn’t have conclusion in concert. Therefo...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30020455726140690630 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 97 === The previous study finds that the variables of the company characteristics are the main decision of exchange rate exposure, but the dependence of the variables of the company characteristics and exchange rate exposure doesn’t have conclusion in concert. Therefore, this paper applies non-linear threshold regression model to analyze the relationship between changes in exchange rate and firm valuation. The sample is gathered from the quarterly data of the listed multinational corporations in Taiwan for the period 1998-2008. Empirical evidence showed that using export ratio, firm size and book value to market value ratio as the threshold variable. We find statistically significant evidence of a single threshold effect. All of them indicate that exchange rate exposure is effected by company characteristics to perform asymmetric relationship.
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