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Abstract(s)
Sabendo que a generalidade dos estudos sobre a exposição ao risco cambial usam,
como objeto de estudo, empresas internacionalizadas, é interessante que se faça a mesma
análise, para empresas “domésticas”, isto é, com um nível de exportações que não
ultrapasse os 5% do total do volume de negócios. Neste contexto, este estudo explorou os
determinantes do grau de exposição cambial, tendo em conta a relação EUR/USD, a que
as empresas “domésticas” francesas se sujeitam.
Os dados foram recolhidos das bases de dados Amadeus, Datastream, Yahoo
Finance, Bloomberg e bolsa de valores francesa (CAC 40) e dizem respeito a empresas
“domésticas” em França. Estão compreendidos entre janeiro de 2010 e dezembro de 2020.
Foram estimadas exposições cambiais com horizontes mensais das empresas constituintes
da amostra utilizada.
Neste estudo, é demonstrado que, de facto, as empresas “domésticas” francesas se
encontram, em média, expostas ao risco da taxa de câmbio EUR/USD, sendo que o grau
de exposição cambial é explicado de forma significativamente inversa pelo
Endividamento, pela Rotatividade dos Ativos e pela Dimensão.
Considering that most studies on exposure to exchange rate risk use internationalised companies as the object of study, it is interesting to carry out the same analysis for "domestic" companies, that is, those with a low percentage of exports in relation to the total value of turnover, where this proportion does not exceed the defined 5%. This study will also explore the determinants of the degree of exchange rate exposure, taking into account the EUR/USD ratio, to which French "domestic" companies are subject. The data will be collected from the Amadeus, Datastream, Yahoo Finance, Bloomberg and French stock exchange (CAC 40) databases and concern 1,624 "domestic" companies in France. They cover the period from January 2010 to December 2020. Exchange rate exposures will be estimated with monthly, quarterly and annual horizons for the companies in the sample used. This study shows that, on average, French "domestic" companies are exposed to the EUR/USD exchange rate risk, and that the degree of exposure is significantly and negatively explained by Debt, Asset Turnover and Dimension.
Considering that most studies on exposure to exchange rate risk use internationalised companies as the object of study, it is interesting to carry out the same analysis for "domestic" companies, that is, those with a low percentage of exports in relation to the total value of turnover, where this proportion does not exceed the defined 5%. This study will also explore the determinants of the degree of exchange rate exposure, taking into account the EUR/USD ratio, to which French "domestic" companies are subject. The data will be collected from the Amadeus, Datastream, Yahoo Finance, Bloomberg and French stock exchange (CAC 40) databases and concern 1,624 "domestic" companies in France. They cover the period from January 2010 to December 2020. Exchange rate exposures will be estimated with monthly, quarterly and annual horizons for the companies in the sample used. This study shows that, on average, French "domestic" companies are exposed to the EUR/USD exchange rate risk, and that the degree of exposure is significantly and negatively explained by Debt, Asset Turnover and Dimension.
Description
Keywords
Risco cambial Exposição ao risco cambial Determinantes da exposição ao risco cambial Oscilações da taxa de câmbio Exchange rate risk Exchange rate fluctuations Exposure to exchange rate risk Determinants of exchange rate exposure