The impact of FX exposure on the firm’s stock market price

Thesis title: The impact of FX exposure on the firm’s stock market price
Author: Bondarenko, Mariia
Thesis type: Diploma thesis
Supervisor: Brůna, Karel
Opponents: Tesařová, Žaneta
Thesis language: English
Abstract:
This research aims to analyze the possible impact of exchange rate changes on the stock return of 208 European companies during the period from 2012 to 2018, additionally examining how this impact differs across companies of different size, operating in various industries. For testing, two wide group of sectors were chosen: industrial, including manufacturing and construction companies, and service sectors of economy, consisting of wholesale and retail, tourism and other industries. Multiple regressions with stock return as a dependent variable, and such explanatory variables as changes in exchange rate, market risk premium, inflation, cost of borrowing, profitability, capital structure and growth prospects of the company were used to test underlying hypotheses of this research along with determination of key predictors of stock price behavior. Empirical results confirm that there is a statistically significant link between changes in exchange rate and stock return, and that medium-size companies as well as firm operating in service sector of economy are more exposed to this impact.
Keywords: Stock price; Exchange rate; FX exposure; currency risk; Stock return
Thesis title: The impact of FX exposure on the firm’s stock market price
Author: Bondarenko, Mariia
Thesis type: Diplomová práce
Supervisor: Brůna, Karel
Opponents: Tesařová, Žaneta
Thesis language: English
Abstract:
This research aims to analyze the possible impact of exchange rate changes on the stock return of 208 European companies during the period from 2012 to 2018, additionally examining how this impact differs across companies of different size, operating in various industries. For testing, two wide group of sectors were chosen: industrial, including manufacturing and construction companies, and service sectors of economy, consisting of wholesale and retail, tourism and other industries. Multiple regressions with stock return as a dependent variable, and such explanatory variables as changes in exchange rate, market risk premium, inflation, cost of borrowing, profitability, capital structure and growth prospects of the company were used to test underlying hypotheses of this research along with determination of key predictors of stock price behavior. Empirical results confirm that there is a statistically significant link between changes in exchange rate and stock return, and that medium-size companies as well as firm operating in service sector of economy are more exposed to this impact.
Keywords: Stock return; Stock price; Exchange rate; FX exposure; currency risk

Information about study

Study programme: Finance and Accounting
Type of study programme: Magisterský studijní program
Assigned degree: Ing.
Institutions assigning academic degree: Vysoká škola ekonomická v Praze
Faculty: Faculty of Finance and Accounting
Department: Department of Monetary Theory and Policy

Information on submission and defense

Date of assignment: 23. 10. 2019
Date of submission: 9. 5. 2020
Date of defense: 8. 6. 2020
Identifier in the InSIS system: https://insis.vse.cz/zp/71407/podrobnosti

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