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Stock Returns and Exchange Rate Volatility Essay

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Below is an essay on "Stock Returns and Exchange Rate Volatility" from Anti Essays, your source for research papers, essays, and term paper examples.

Bachelor Thesis
Bsc(B) 6. Semester

Author:
Jesper Klug Korsgaard
Supervisor:
Stig Vinther Møller

Stock Returns and Exchange rate
Volatility

The Aarhus School of Business
Maj 2009

Abstract
This paper examines the relationship between firm value and exchange rate volatility. By
using empirical approved theory, different multiple regression models is generated.
Exchange rate volatility is then tested against stock returns, representing firm value.
Recognizing earlier research limited success in finding a significant correlation this paper
investigate a global industry, selecting 4 companies. Stock returns are then tested against the
major currencies of the selected companies. Scrutinizing the history, financial record and
strategy pursued of the individual companies offer some insights into the regression analysis.
The findings suggest that stock returns are to a certain degree sensitive to exchange rate
volatility and that being more selective in the sampling process gave more significant result
than earlier research.

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Keywords
Exchange Rate, Arbitrage Pricing Theory, Capital Asset Pricing Model, Stock return, Risk

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Table of Contents
Abstract.....................................................................................................................................ii

Keywords.................................................................................................................................iii

List of Tables ...........................................................................................................................vi

List of Abbreviations ..............................................................................................................vii

1
 Introduction ........................................................................................................................ 1

1.1
 Problem...

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