Exchange rate variability and the riskiness of US multinational firms: evidence from the Asian turnmoil.

Chen Chen.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.Includes bibliographical references (leaves 122-129).Abstracts in English and Chinese.ABSTRACT --- p.iiACKNOWLEDGEMENT --- p.ivTABLE OF CONTENTS --- p.vLIST OF FIGURES --- p.viiLIST OF TABLES --- p.viiiChapterChapter I. --- INTRODUCTION --- p.1Chapter 1.1 --- Introduction --- p.1Chapter 1.2 --- Objectives and Motivation --- p.5Chapter 1.3 --- The Asian Crisis --- p.9Chapter 1.4 --- Procedures and Findings --- p.18Chapter 1.5 --- Summary --- p.20Chapter II. --- LITERATURE REVIEW --- p.21Chapter 2.1 --- Definition and Determinants --- p.21Chapter 2.2 --- Measurement Model --- p.25Chapter 2.3 --- Exchange Rate Fluctuation and Market Value of the Firm --- p.28Chapter 2.3.1 --- Exchange Rate Fluctuation and Stock Return --- p.28Chapter 2.3.2 --- Some Problems of the Measurement Model --- p.31Chapter 2.4 --- Exchange Rate Fluctuation and Market Risk of the Firm --- p.42Chapter 2.5 --- Summary --- p.45Chapter III. --- HYPOTHESES，METHODOLOGY & DATA --- p.47Chapter 3.1 --- Hypotheses --- p.47Chapter 3.2 --- Research Design --- p.50Chapter 3.3 --- Sample Selection --- p.56Chapter 3.3.1 --- Selection of Sample Group --- p.56Chapter 3.3.2 --- Selection of Control Group --- p.61Chapter 3.3.3 --- Comparison of Two Groups --- p.62Chapter 3.4 --- Data and the Measurement of the Variables --- p.64Chapter 3.5 --- Summary --- p.67Chapter IV. --- EMPIRICAL RESULTS AND DISCUSSION --- p.68Chapter 4.1 --- Exchange Rate Variability and Stock Return Volatility --- p.68Chapter 4.2 --- Exchange Rate Variability and Market Risk --- p.81Chapter 4.3 --- Interpretations --- p.87Chapter 4.3.1 --- Phenomenon 1: Cost of Equity and Net Cash Flows --- p.89Chapter 4.3.2 --- Phenomenon 2: Increased Return Variability and the US Stock Market Return --- p.92Chapter 4.4 --- Alternative Explanation --- p.96Chapter 4.5 --- Summary --- p.99Chapter V. --- CONCLUDING REMARKS --- p.100APPENDICESAPPENDIX 1. Firm Lists --- p.105APPENDIX 2. Estimates of CAPM Betas --- p.115BIBLIOGRAPHY --- p.12