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Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options

Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

Standard

Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. / Aabo, Tom.

Proceedings for the European International Business Academy 2001. European International Business Academy, 2001.

Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

Harvard

Aabo, T 2001, Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. in Proceedings for the European International Business Academy 2001. European International Business Academy, 27th Annual Meeting of EIBA, Paris, France, 13/12/2001.

APA

Aabo, T. (2001). Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. In Proceedings for the European International Business Academy 2001 European International Business Academy.

CBE

Aabo T. 2001. Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. In Proceedings for the European International Business Academy 2001. European International Business Academy.

MLA

Aabo, Tom "Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options". Proceedings for the European International Business Academy 2001. European International Business Academy. 2001.

Vancouver

Aabo T. Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. In Proceedings for the European International Business Academy 2001. European International Business Academy. 2001

Author

Aabo, Tom. / Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options. Proceedings for the European International Business Academy 2001. European International Business Academy, 2001.

Bibtex

@inproceedings{d5b58af0ee5f11db8476000ea68e967b,
title = "Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options",
abstract = "Real options like the ability to reallocate production resources can lead to an asymmetric exchange rate exposure. Using a stock market approach in which the exchange rate exposure is derived from the information content in the stock prices this study examines the extra-market exchange rate exposures of a group of blue chip, industrial companies listed on the Copenhagen Stock Exchange. In these companies the existence of real options is an integrated part of the exchange rate exposure management process. The result of the stock market approach is mixed. Statistically significant asymmetric exchange rate exposures are identified successfully but the asymmetries can only to a limited extent be explained by the existence of real options. Financial options and pricing to market are competing explanations. Omitted variable bias further blurs the picture. These problems and the concept of path dependency in real options decision analysis partly disqualifies the stock market approach as a potent vehicle for identifying asymmetric exchange rate exposures caused by real options.",
keywords = "Real Options, Exchange Rates, Asymmetric Exposure, Stock Market Approach, Real Options, Exchange Rates, Asymmetric Exposure, Stock Market Approach",
author = "Tom Aabo",
year = "2001",
language = "English",
booktitle = "Proceedings for the European International Business Academy 2001",
publisher = "European International Business Academy",
note = "null ; Conference date: 13-12-2001 Through 15-12-2001",

}

RIS

TY - GEN

T1 - Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options

AU - Aabo, Tom

PY - 2001

Y1 - 2001

N2 - Real options like the ability to reallocate production resources can lead to an asymmetric exchange rate exposure. Using a stock market approach in which the exchange rate exposure is derived from the information content in the stock prices this study examines the extra-market exchange rate exposures of a group of blue chip, industrial companies listed on the Copenhagen Stock Exchange. In these companies the existence of real options is an integrated part of the exchange rate exposure management process. The result of the stock market approach is mixed. Statistically significant asymmetric exchange rate exposures are identified successfully but the asymmetries can only to a limited extent be explained by the existence of real options. Financial options and pricing to market are competing explanations. Omitted variable bias further blurs the picture. These problems and the concept of path dependency in real options decision analysis partly disqualifies the stock market approach as a potent vehicle for identifying asymmetric exchange rate exposures caused by real options.

AB - Real options like the ability to reallocate production resources can lead to an asymmetric exchange rate exposure. Using a stock market approach in which the exchange rate exposure is derived from the information content in the stock prices this study examines the extra-market exchange rate exposures of a group of blue chip, industrial companies listed on the Copenhagen Stock Exchange. In these companies the existence of real options is an integrated part of the exchange rate exposure management process. The result of the stock market approach is mixed. Statistically significant asymmetric exchange rate exposures are identified successfully but the asymmetries can only to a limited extent be explained by the existence of real options. Financial options and pricing to market are competing explanations. Omitted variable bias further blurs the picture. These problems and the concept of path dependency in real options decision analysis partly disqualifies the stock market approach as a potent vehicle for identifying asymmetric exchange rate exposures caused by real options.

KW - Real Options

KW - Exchange Rates

KW - Asymmetric Exposure

KW - Stock Market Approach

KW - Real Options

KW - Exchange Rates

KW - Asymmetric Exposure

KW - Stock Market Approach

M3 - Article in proceedings

BT - Proceedings for the European International Business Academy 2001

PB - European International Business Academy

Y2 - 13 December 2001 through 15 December 2001

ER -