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Foreign Exchange Rate Exposure and Investor Sentiment

 

Using the sample of the KOSPI firms in Korea Exchange during 2006~2012, this study examines the effect of investor sentiment of stock market on the estimated exchange exposure coefficient of firms. The results from the augmented market model show that exchange exposures are significantly different when we included investor sentiment in the estimation model. The determinants of the exposure differences were the variables including degree of financing in foreign currency, operating profit, R&D expenses, Chaebol affiliation, and firm size, which are different from the determinants of exposures based on augmented market model. Our test results also show that the size of firms and the direction of exposures of firms are closely related to the effect of investor sentiment on the coefficients of exposures. The results of our paper suggest that investor sentiment have to be considered properly in the estimation of the coefficients of foreign exchange exposures.


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