1. A Firm’s Growth and its Diversification Effects(2016)

    A Firm’s Growth and its Diversification Effects A firm’s diversification is closely related with the firm’s growth strategies. While the sales growth of a firm affects the computation result of diversification index which reveals the degree of the firm’s diversification. This paper tests the diversification and firm value relations considering a firm’s sales growth. The test results show that the negative effect of diversification comes from the diversification conducted by firms that have been experienced low (negative) sales growth. On the contrary, the diversifications of the high sales growth firms had a tend to be positively related with firm value. These results support the notion that sales growth could play a big role in the analyses of a firm’s diversification effect. The paper also tests whether there is any difference in the test results through measuring the diversification index. The test results confirm that the diversification effect could be different by digits adopted to classify a firm’s sales item. Empirical results of the paper remain robust to different model and sample specifications.
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  2. Variability of Foreign Exchange Exposure and its Relations to Firm Value(2016)

    Variability of Foreign Exchange Exposure and its Relations to Firm Value The effect of foreign exchange rate changes on a firm’s operations has been discussed from the perspective of foreign exchange exposure coefficients. In general, foreign exchange exposure coefficients were estimated under the assumption of have a constant coefficient during the estimation periods. Previous studies, however, have documented evidence supporting the theory of time-varying exchange exposure. Time-varying exchange exposure implies that exchange exposure has variability. We developed 2 competing hypotheses on the variability of exchange exposure on firm value. First, the time-varying exchange exposure would affect firm value negatively due to the difficulty in managing the foreign exchange exposure). When the exchange exposure changes periods, it is hard for investors to fix the optimal hedge ratio to manage the exchange risk. Conversely, the time-varying exchange exposure would affect firm value positively due to the information effect included in the time varying exposure, because the time-varying exchange exposure might be interpreted as a firm doing international business actively If this information effect outweighs the inefficient hedging, time-varying exchange exposure would induce an increase in firm value. This study examines the relations of the variability of the exchange exposure and firm value. Test results show that the variability of the exchange exposure is positively related with firm value. Yet, the relations disappear when a firm’s idiosyncratic volatility is included in the estimation equation. Further analysis reveals that the variability of exchange exposure could be a factor that explains the firm’s idiosyncratic volatility. This study suggests that the variability of the exchange exposure should be considered in the analysis of the effect of the exchange rate changes on the management of firms. Test results also show that the variability of the exchange exposure could explain some part of a firm’s idiosyncratic volatility.
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  3. Foreign Currency Debt Financing, Firm Value, and Risk: Evidence from Korea Surrounding the Global Financial Crisis(2016)

    Bae, Sung C., Hyeon Sook Kim and Taek Ho Kwon(2016), Foreign Currency Debt Financing, Firm Value, and Risk: Evidence from Korea Surrounding the Global Financial Crisis, Asia-Pacific Journal of Financial Studies, 45(1), 124-152.
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  4. The Comparative Advantage of Intermediate Goods Trade in East Asia and Free Trade Agreement(2016)

    The Comparative Advantage of Intermediate Goods Trade in East Asia and Free Trade Agreement This study analyzes the degree of dependency and comparative advantage of each country for intermediate goods trade in East Asia, which predicts the comparative advantage of the intermediate goods trade and fragmentation in East Asia when the FTA arrangement in East Asia is implemented. The results are as follows. First, the share of intra-regional trade in the intermediate goods in East Asia has increased over time, implying the deepening of interdependency in intermediate goods trade within the East Asia. Second, Korea is a net exporter in intermediate goods trade for China and ASEAN, whereas it is a net importer for Japan. Japan is a high net exporter for all East Asia, while China is a net importer for Korea, Japan and ASEAN. If FTA arrangement in East Asia is implemented, Japan and Korea will be key suppliers of the intermediate goods for East Asia, while China and ASEAN will play a role of the manufacturing factory through the import of intermediate goods. Third, Korea has a comparative advantage in intermediate trade of electric and electronics and transport vehicle industry in East Asia. Japan has a comparative advantage in all of electric and electronics, transport vehicle, precision instrument, general machinery industry, whereas China has a comparative advantage only in electric and electronics intermediate trade in East Asia. The intra-industry trade of the intermediate goods in precision instrument, general machinery industry is expected to grow among Korea, apan and China.
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  5. Foreign Exchange Risk Management of Korean Manufacturing Firms(2016)

    Kwon, Taek Ho, Foreign Exchange Risk Management of Korean Manufacturing Firms, 두남, 2016.
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  6. Foreign Exchange Rate Exposure and Investor Sentiment(2015)

    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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  7. Yu, Je-taeck, and Taek-ho Kwon(2014), "Foreign Currency Related Losses on Financial Reports and Firm Performance of External Audit Firms", International Business Review, 14(3), 127-149.

    This paper investigates the effect of foreign currency related loss/gain on financial reports(hereafter accounting exposure) on firm performance of a firms under external audit. Test result shows that accounting exposure of a firm affects its performance. It indicates that the amount of a firm’s accounting exposure is large enough to affect the firm’s performance and that the firm fails to manage the accounting exposure effectively. We also analyze the difference of a firm’s accounting exposure effect on the firm performance by firm size. Our test result shows that firm performance is more sensitive to accounting exposure in small-medium sized firms than large sized firms. This result can be interpreted as the management of accounting exposure is more demanding for small-medium sized firms. This paper also tests how differently accounting exposures affect firm performance before and after the global financial crisis in 2008. Test result shows that the effect of accounting exposure on firm performance is not alleviated even after the global financial crisis. The findings of this paper suggest that small-medium sized firms are asked to manage their accounting exposures more effectively. Yu, Je-taeck, and Taek-ho Kwon(2014), "Foreign Currency Related Losses on Financial Reports and Firm Performance of External Audit Firms", International Business Review, 14(3), 127-149.
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  8. Kwon, Taek Ho(2014), "Korean Firms’ Foreign Exchange Exposure and its Management: A Literature Review", Korean Management Review, 43(6), 2011-2037

    This paper reviews previous studies on the foreign exchange exposures of Korean firms, and attempts to draw implications for researchers and practitioners. Studies on the corporate exchange exposures in Korea began from early 1980s. Early researchers were interested in how to define exchange rate risks and how to measure exchange exposures. Since then, a large number of studies have been devoted to estimating exchange exposures, and analyzing their characteristics. Especially, the Asian Financial Crisis in 1997 contributed to re-evaluating the sense of exchange exposures in corporate management. After Korea’s adoption of floating exchange rate system, researches focus on estimation of exchange exposures, and thereafter the activities to manage exchange exposures have sharply increased. Meanwhile, derivatives trading of Korean firms began to appear in accounting reports from 1999, and quite a few studies tested the effect of derivatives trading on the exchange exposure management. Recently, a few studies are trying to analyze exchange exposures with greater precision by dividing the exchange exposures into expected ones and observed ones. Those studies examine the relatedness of the difference of exposures to the effect of exposure management activities. Our review of previous studies shows that Korean firms have been shown to be exposed to exchange rate changes and that they have made efforts to manage their exposures. Not a few studies report that exchange rate changes affect firm value with time lag, and/or that the effect of exchange rate changes on firm value gets along asymmetrically with the direction of exchange rate changes. Previous studies also show that Korean firms need to make approach systematically to estimating their exchange exposures. Kwon, Taek Ho(2014), "Korean Firms’ Foreign Exchange Exposure and its Management: A Literature Review", Korean Management Review, 43(6), 2011-2037
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  9. Kwon, Taek Ho, Pyung Sig Yoon and Byung Kwon Lim(2014), "KOSPI 200 Index Inclusion and Investor's Trading Behavior", The Korean Journal of Financial Engineering, 13(2), 1-29.

    Abstract KOSPI 200 Index Inclusion and Investor's Trading Behavior 8) This study examines the KOSPI 200 index inclusion event with a matching firm approach using average treatment effect. We test five hypotheses by investigating stock price effect and investor's trading behavior. The results are as follows. First, We find significant positive abnormal returns from the announcement date(AD), but the effect reversed after the inclusion date(CD). Second, abnormal trading volume temporarily increased until including date, it declined since then. Bid-ask Spread adversely increased in the including date and it decreased afterwards. Tobin's Q, ROA, number of shareholders and shadow cost increased after including date, but these are not significant difference with matching firm. Third, individual investors are net sellers before and after AD. Institutional investors are net sellers before AD, but are switched to net buyers thereafter for a long period of time. On the other hand, foreign investors are net buyers before CD, but are switched to net seller thereafter for a short period of time. Therefore, the positive abnormal returns at AD are attributable to net buying position of institutional and foreign investors. In addition, the price reversal after CD is found to be due to foreign investors' net selling and decrease in net buying of institutional investors. Our results indicate that KOSPI 200 index inclusion effect is derived from temporary increase in demand by institution investors and foreign investors. Finally, our findings clearly support to the price pressure hypothesis. Kwon, Taek Ho, Pyung Sig Yoon and Byung Kwon Lim(2014), "KOSPI 200 Index Inclusion and Investor's Trading Behavior", The Korean Journal of Financial Engineering, 13(2), 1-29.
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  10. Bae, S. C., Taek Ho Kwon(2013), "Asymmetric Foreign Exchange Exposure, Option Trade, and Foreign Currency Denominated Debt: Evidence from Korea" Asia-Pacific Journal of Financial Studies 42, 314?339.

    Abstract We examine the measurement and determinants of asymmetric foreign exchange exposure with a focus on the role of firms’ usage of foreign currency-denominated debt (FCDD). Employing a large sample of Korean firms, we find significant asymmetries in exchange exposure. We also find that firms with dollar-denominated debt exhibit substantially lower asymmetries in exchange exposure than firms without such debt. Most interestingly, both a firm’s export ratio and dollar-denominated debt ratio are significantly related to its asymmetric exposure but in the opposite direction. In contrast, a firm’s option trading has little impact on its asymmetric exchange exposure. Consistent with the FCDD effect hypothesis, these results provide strong evidence that increased asymmetries in exchange exposure resulting from exporting activities can be effectively reduced by the usage of FCDD. Our results offer a broadly applicable implication that firms with high asymmetric exchange exposure can effectively manage their exchange risk from operating activities by selectively using exporting and FCDD financing. Bae, S. C., Taek Ho Kwon(2013), "Asymmetric Foreign Exchange Exposure, Option Trade, and Foreign Currency Denominated Debt: Evidence from Korea" Asia-Pacific Journal of Financial Studies 42, 314?339.
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  11. Taek Ho Kwon, Kyeongwon Joo, "The Changes in the Features of Foreign Exchange Rate Exposure of Korean Firms and Its Management", International Business Review Vol. 17, No. 1, 2013.

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  12. Taek Ho Kwon, Jong Won Park, "Derivatives Hedging, Earnings Management, and Foreign Exchange Exposure", The Korean Journal of Financial Management Vol. 42, No. 5, 2013.

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  13. Taek Ho Kwon, "Foreign Currency Derivatives and Foreign Exchange Rate Exposure Management of KOSDAQ Firms", Korean Journal of Futures and Options Vol. 21, No. 2, 2013.

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  14. Taek Ho Kwon, "Foreign Currency Denominated Debt and Firm Value", International Business Journal Vol. 24, No. 3, 2013.

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  15. Taek Ho Kown, Sumi Choi, "Disparity of Control and Ownership and Earnings Quality of Holding Companies in Chaebul", The Korean Journal of Financial Management Vol. 12, No. 2, 2013.

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  16. Taek Ho Kwon, Rae Soo Park, Uk Chang, "The Effect of Derivatives Usage of Korean Commercial Banks on Their Firm Value", Korean Journal of Futures and Options Vol. 21, No. 3, 2013.

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  17. Sung C. Bae, Taek Ho Kwon, "Asymmetric Foreign Exchange Exposure, Option Trade, and Foreign Currency- Denominated Debt: Evidence from Korea", Asia-Pacific Journal of Financial Studies 42, 314?339, 2013.

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  18. Sung C. Bae, Kyungwon Ju, Kyoo H. Kim, Taek Ho Kwon, "Equity Ownership Determination in Foreign Direct Investments of Developing Economies: The Case of Korean Outward FDIs", Review of Pacific Basin Financial Markets and Policies Vol. 15, No. 1, 2012.

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  19. Taek-Ho Kwon, Kyeong-Won Joo, "Markup Adjustment of Korean Export Price Responding to Exchange Rate Change considεring Production Process", Journal of International Trade & Commerce Vol. 8, No. 2, 2012.

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  20. Taek Ho Kwon, "Analysis on the Business Groups and Performance" , The Korean Journal of Financial Management Vol. 29, No. 4, 2012.

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  21. Sung C. Bae, Taek Ho Kwon, Jang W. Lee, "Does corporate diversification by business groups create value? Evidence from Korean chaebols", Pacific-Basin Finance Journal, 19, 2011

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  22. Taek Ho Kwon, Rae-Soo Park, Sung C. Bae, "On the Effectiveness of Foreign Exchange Rate Exposure Hedging with Derivatives for Korean Industrial Companies", The Korean Journal of Financial Management Vol. 40, No. 5, 2011.

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  23. Taek Ho Kwon, "Within-group Transaction with Local Subsidiary Abroad and Firm Value in the Korean Firms", International Business Review Vol. 16, No. 2, 2011.

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  24. Taek Ho Kwon, Kyeong Won Joo, "A Study on the Expected and Observed Exchange Rate Exposure of Korean Firms", International Business Journal Vol. 22, No. 2, 2011.

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  25. Taek Ho Kwon, Rae Soo Park, Uk Chang, "Derivatives Use, Firm Value, Risk and Determinants : Evidence of Korean Firms", Korean Journal of Futures and Options Vol. 19, No. 4, 2011

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  26. Taek Ho Kwon, Uk Chang, Sung Chang Jung, "The Using of Currency Derivatives of the Korean Firms and their Management of the Foreign Exchange Rate Exposure", The Korean Journal of Financial Management Vol. 27, No. 4, 2010.

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  27. Taek Ho Kwon, Sung Chang Jung, "The Effect of Corporate Currency Forward and Futures Trading on the Asymmetric Foreign Exchange Exposure", International Business Review Vol. 14, No. 3, 2010.

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  28. Taek Ho Kwon, "A Study on the Korean Finacial Planning for Retirement", The Korean Journal of Financial Management Vol. 27, No. 3, 2010.

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  29. Park, Jong Won, Woo-Baik Lee, Taek Ho Kwon, "Program Trading Halts and Information Asymmetry : Evidence from the Korean Securities Market", Korean Journal of Financial Studies Vol. 38, No. 3, 2009.

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  30. Taek Ho Kwon, Kyeongwon Joo, "The Effect of Korean FDI on Intra-Industry Trade:The Cases of China and the USA", Jorunal of Korea Trade Vol. 13, No. 4, 2009

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  31. Taek Ho Kwon, "Internal Transactions within Business Group and Management of Foreign Exchange Exposure", International Business Journal Vol. 20, No. 4, 2009.

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  32. Sung C. Bae, Taek Ho Kwon, Jong Won Park, "Derivatives Trading, Volatility Spillover, and Regulation: Evidence from the Korean the Korean Securities Markets", Journal of Futures Market, 2008.

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  33. Jong Won Park, Taek Ho Kwon, Woo-Baik Lee, "Foreign Investors Response to the Foreign Exchange Rate Risk in the Korean Stock Markets", The Korean Journal of Financial Management Vol. 25, No. 4, 2008.

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  34. Sung C. Bae, Taek Ho Kwon, Jang Woo Lee, "Corporate Diversification, Relatedness, an Firm Value: Evidence from Korea", Asia-Pacific Journal of Financial Studies Vol. 37, No. 6, 2008.

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  35. Taek Ho Kwon, Kyung-Won Ju, "International Portfolio Investment and Differences of Foreign Exchange Rate Exposure between Foreign Investors and Local Investors", The Korean Journal of Financial Engineering Vol. 7, No. 4, 2008.

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  36. Taek Ho Kwon, Jin-Woo Park, "Valuation Effect of Across-firm and Within-firm Diversification", The Korean Journal of Finance Vol. 20, No. 2, 2007.

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  37. Sung-Chang Jung, Taek Ho Kwon, "Does the Use of Foreign Currency Derivatives in Korean Firms Reduce the Exchange Rate Exposure? " International Business Journal Vol. 18, No. 4, 2007.

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  38. Taek Ho Kwon, "Asymmetric Exchange Rate Exposure and Foreign Currency Denominated Debt", International Business Journal Vol. 18, No. 1, 2007.

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  39. Taek Ho Kwon, "The Exchange Exposure and the Maximum Exchange Loss in Exchange Risk Analysis", The Korean Journal of Financial Engineering Vol. 5, No. 2, 2006.

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  40. Taek Ho Kwon, "Lagged Exchange Rate Exposure and Determinants of Exchange Rate Exposure", Korean Management Review Vol. 35, No. 3, 2006.

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  41. Taek-Ho Kwon, Kyung-Won Ju, "Changes of Trade Structure among Korea and East Asian Countries and their determinants", Korea Trade Review Vol. 31, No. 2, 2006.

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  42. JangWoo Lee, Taek Ho Kwon, "The Information Content and Volatility Transfer Effect of Implied Volatility on KOSPI200 Returns", The Korean Journal of Financial Engineering, 2006.

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  43. Taek Ho Kwon, Sung C. Bae, Jay M. Chung, "Do Foreign Investors Price Foreign Exchange Risk Differently?", Journal of Financial Research Vol. 28, No. 4, 2005.

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  44. Taek Ho Kwon, Jong Won Park, Uk Chang, "The Effect of Side Car on Stock Market", The Korean Journal of Financial Engineering, 2005.

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  45. Taek-Ho Kwon, Kyung-Won Ju, "Foreign Exchange Exposure and Risk Management of Firms in the Yosu National Industrial Complex", International Business Journal Vol. 15, No. 4, 2004.

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  46. Taek-Ho Kwon, Kyung-Won Ju, "A Comparison of the Degree of Concentration in the Export Market of Korea, U.S.A., Japan and China Measured by Gini Coefficient", Korea Trade Review, 2004.

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  47. Hee-Kon Hwang, Taek-Ho Kwon, Kyung-Won Ju, "Export Market Diversification Measured by Gini Coefficient and Export Competitiveness", Korea Trade Review, 2004.

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  48. Sung C. Bae, Taek Ho Kwon, Jong Won Park, "Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Markets", Journal of Futures Markets, 2004.

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  49. Taek Ho Kwon, Kyeong Weon Joo, "Determinants of Mark - up Adjustment According to the Exchange Rate Change in Korea`s Major Exports", International Business Journal Vol. 13, No. 1, 2002.

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  50. Kwon Taek Ho, Park Jong Won, Chang Uk, "The Characteristics of Program Trading and its Effects on Stock Market", Korean Management Review, Vol. 31, No. 2, 2002.

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  51. Kwon Taekho, "Exchange Rate Change and Markup Adjustment of Major Korean Exports during Korea ` s Foreign Currency Crisis", Korean Management Review Vol. 30, No. 2, 2001.

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  52. TaekHo Kwon, "The Characteristics of the Foreign Currency Exposure of the KOSPI 200 Firms and Non-KOSPI 200 Firms - The Case of the Manufacturing Firms -", Korean Management Review Vol. 27, No. 8, 1999.

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  53. Kwon Taekho, "The Effect of Currencies and Asymmetry in Estimating Foreign Currency Exposure", Korea Trade Review, 1998.

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