+DOLW*|QHQo

%DODQFH6KHHW([FKDQJH5DWH([SRVXUH

,QYHVWPHQWDQG)LUP9DOXH

(YLGHQFHIURP7XUNLVK)LUPV

 

+DOLW*|QHQo

*|NQXU=%\NNDUD

DQG

2QXU.R\XQFX






     !

"

$#$%&'(#)! !#*   +,$#! $#

-

$#!/. +&

0 1!2 34$5

 6  7 8$69&

:

%;< !  $#)=

:

$#!);$ ;

> :

! ? @

0!53A)4$54

@ @

4 0 1!BCDA)4

@

"

!E$? @

0!53A)4$54

@ @

4 0!2 2

BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB

$EVWUDFW

7KLV SDSHU SURYLGHV HYLGHQFH IRU WKH HIIHFWV RI D FRPELQDWLRQ RI EDODQFH VKHHW

H[FKDQJH UDWH H[SRVXUH DQG UHDO H[FKDQJH UDWH PRYHPHQWV RQ LQYHVWPHQW ,Q KLJKO\

LQIODWLRQDU\GHYHORSLQJHFRQRPLHVOLNH7XUNH\ILUPVXVHWKHIRUHLJQFXUUHQF\GHQRPLQDWHG

DVVHWVDQGGHEWVWRGHIHQGWKHPVHOYHVDJDLQVWLQIODWLRQDU\HIIHFWVDQGWU\WREHQHILWIURPRSHQ

SRVLWLRQV ZKHQ WKH FXUUHQF\ LV XQGHUYDOXHG RU RYHUYDOXHG :LWK PHDVXULQJ EDODQFH VKHHW

IRUHLJQFXUUHQF\H[SRVXUHVIRU7XUNLVK,QGXVWULDOILUPVLQWKHSHULRGRIZHVKRZ

WKDWWKHGHJUHHRIH[FKDQJHUDWHH[SRVXUHLVFRUUHODWHGZLWKILQDQFLDOSRVLWLRQVRIWKHILUPV

EXWQRWZLWKVL]HDQGDIILOLDWLRQZLWKHLWKHUKROGLQJVRUEDQNV%DVHGRQWKHHYLGHQFHWKDW

ILUPYDOXHDQGLQYHVWPHQWDUHHQGRJHQRXVZHILQGWKDWWKHILUPVZLWKQHJDWLYHSRVLWLYH EDODQFH VKHHW H[FKDQJH UDWH H[SRVXUH GHFUHDVH WKHLU LQYHVWPHQW E\ WKH GHSUHFLDWLRQ

DSSUHFLDWLRQRIWKHYDOXHRI7/,QDGGLWLRQZHVKRZWKDWWKHUHLVDSRVLWLYHDVVRFLDWLRQRI

H[SDQVLRQLQLQYHVWPHQWZLWKWKHILUPYDOXH

-HO&ODVVLILFDWLRQ)**

.H\ZRUGV %DODQFH 6KHHW ([SRVXUH )RUHLJQ ([FKDQJH 5LVN ,QYHVWPHQW )LUP 9DOXH

(PHUJLQJ0DUNHW

BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB

    

FHGI$JHKL!MMJN9O$L!PQ RP$SUTV WI$L!MXYZJ[TMJ\S!M9TWJ]V$^*WLZTP_TP$L!P `!a/L!VN/MJ]JMJJ[TPQbOTMWRKROTP WN'TWWI$Jdce e!f

g V$^WRPTWRL!PT^ hiRPTPKJj$L KRJW` g JJWRP$Sk]L!MI$J^O$]V$^KL!ala/JP WNX



© 2005 Central Bank of the Republic of Turkey

ˆˆ„‰‰‘‘‘“’ˆ”•–’—Œ9˜’ˆ…‰…Ž™Žš…”‰…Ž˜D†Ž‘‰…Ž˜D†Ž‘“’ˆ•

- C£ 4/§4 0 0!3D¨A!54$2

c

,QWURGXFWLRQ

7KHLQWHUQDWLRQDOILQDQFHWKHRU\VWDWHVWKDWYDULDWLRQVLQWKHH[FKDQJHUDWHVZLOO

DIIHFW WKH FDVK IORZV RI D ILUP ZLWK IRUHLJQ FXUUHQF\ GHQRPLQDWHG GHEWV DQGRU

UHFHLYDEOHV WKHUHIRUH LWV YDOXH 7KH HPSLULFDO OLWHUDWXUH RQ WKH H[FKDQJH UDWH

H[SRVXUH UHYHDOV WKDW WKHGHJUHHRILQWHUQDWLRQDODFWLYLWLHVLVDQLQWHJUDOSUHGLFWRU

DQG DQ LQGHSHQGHQW YDULDEOH WR EH XVHG LQ D VWXG\ DQDO\]LQJ WKH UHODWLRQVKLS

EHWZHHQ H[FKDQJH UDWH ULVN DQG WKH ILUP YDOXH $ JUHDW GHDO RI VWXGLHV WHQGV WR

ILJXUH RXW WKH H[FKDQJH UDWH H[SRVXUH IRU WKH ILUPV RQ WKH EDVHV RI WKHLU

LQWHUQDWLRQDO DFWLYLWLHV $FFRUGLQJ WR WKH VWDQGDUG HFRQRPLF DQDO\VLV XQOHVV WKH\

SUDFWLFH KHGJLQJ DFWLYLWLHV H[SRUWLQJ FRPSDQLHV DUH LQ ORQJ SRVLWLRQ DQG ZLOO

EHQHILW D GHSUHFLDWLRQ RI WKHLU KRPH FXUUHQF\ ,Q WKH VDPH PDQQHU LPSRUWLQJ

FRPSDQLHVDUHLQVKRUWSRVLWLRQDQGDQDSSUHFLDWLRQRIWKHLUKRPHFXUUHQF\ZLOOEH

RIWKHLUEHQHILW

,Q EURDG WHUPV D GHILQLWLRQ IRU H[FKDQJH UDWH H[SRVXUH FDQ EH VWDWHG DV WKH

FKDQJHLQWKHILUPYDOXHHPDQDWLQJIURPWKHIOXFWXDWLRQVLQWKHH[FKDQJHUDWHV:H

DUJXHWKDWEHLQJGLUHFWO\DIIHFWHGE\WKHH[FKDQJHUDWHIOXFWXDWLRQVGRHVQRWPHUHO\

GHSHQGRQLQWHUQDWLRQDODFWLYLWLHV7KHUHLVDKLJKSRVVLELOLW\WKDWWKHH[FKDQJHUDWH

H[SRVXUH LV UHODWHG ZLWK IRUHLJQ FXUUHQF\ GHQRPLQDWHG EDODQFH VKHHW LWHPV 7KLV

UHODWLRQVKLSLVWLJKWO\FRQQHFWHGWRWKHPDFURHFRQRPLFHQYLURQPHQWVRIFRXQWULHV

DQG HVSHFLDOO\ WR VXGGHQ DQG XQH[SHFWHG YDULDWLRQV RQ VRPH PDFUR HFRQRPLFDO

SDUDPHWHUV VXFK DV LQIODWLRQ UDWHV LQWHUHVW UDWHV H[FKDQJH UDWHV DQG PDUNHW

G\QDPLFV $ FRQVHTXHQFH RI WKH DERYH GHILQLWLRQ RQ H[FKDQJH UDWH H[SRVXUH

VXJJHVWVWKDWLWLVKDUGWRLGHQWLI\VXFKDQHIIHFWLQHQYLURQPHQWVZKHUHRQDQGRII

EDODQFHVKHHWKHGJLQJVWUDWHJLHVDJDLQVWXQH[SHFWHGIRUHLJQH[FKDQJHIOXFWXDWLRQV

DUHH[FHVVLYHO\DSSOLHG8QOHVVVXFKVWUDWHJLHVDUHSXWLQWRSUDFWLFHWKHODUJHUWKH

SHUFHQWDJHRIIRUHLJQFXUUHQF\DVDSRUWLRQRILWVDVVHWVDQGRUOLDELOLWLHVIRUDILUP

WKHPRUHLQWHQVLYHWKHHIIHFWH[SHULHQFHGE\WKHFRPSDQ\PXVWEH

7KLV VWXG\ DLPV WR SRLQW RXW WKH EDODQFH VKHHW H[FKDQJH UDWH H[SRVXUH IRU

7XUNLVKILUPV7KLVLVYHU\LPSRUWDQWIRU7XUNLVKILUPVVLQFHWKH\KDYHSUHIHUUHGWR

KROGIRUHLJQFXUUHQF\GHQRPLQDWHGDVVHWVGXHWRWKHODFNRIWUXVWLQKRPHFXUUHQF\

7XUNLVK /LUD 7/ DQG WKH\ DOVR ERUURZ IRUHLJQ FXUUHQF\ GHQRPLQDWHG GHEWV LQ

RUGHU WR WDNH DGYDQWDJHV IURP LQWHUHVW UDWH DUELWUDJH 0RUH LPSRUWDQWO\ 7XUNLVK

ILUPV PD\ KDYH EHHQ DSSO\LQJ RQH RI WKHVH SROLFLHV RU ERWK ZLWKRXW FRQVLGHULQJ

WKHLUOHYHORILQYROYHPHQWVLQWRLQWHUQDWLRQDODFWLYLWLHV:HPHDVXUHVHYHUDOEDODQFH

VKHHW IRUHLJQ FXUUHQF\ H[SRVXUHV IRU 7XUNLVK ,QGXVWULDO ILUPV LQ WKH–

- C£ 4/§4 0 0!3D¨A!54$2ª©

SHULRG7KHPHDQDQGPHGLDQYDOXHVRIWRWDOH[SRVXUHDUHQHJDWLYHIRUHDFKVDPSOH

\HDU7KHQHJDWLYHEDODQFHVKHHWIRUHLJQH[FKDQJHH[SRVXUHLQGLFDWHVWKDW7XUNLVK

LQGXVWULDOILUPVRQDYHUDJHKROGPRUHIRUHLJQFXUUHQF\GHQRPLQDWHGOLDELOLWLHVWKDQ

IRUHLJQ FXUUHQF\ GHQRPLQDWHG DVVHWV 7KLV LQGLFDWHV FXUUHQF\ PLVPDWFKLQJ RQ WKH

EDODQFHVKHHW2XUILQGLQJVDOVRVKRZWKDWILUPVLQDOOLQGXVWULHVHLWKHULPSRUWRU

H[SRUW RULHQWHG RQ DYHUDJH KDYH QHJDWLYH EDODQFH VKHHW FXUUHQF\ H[SRVXUHV

LQGLFDWLQJWKDWWKHLUIRUHLJQFXUUHQF\GHQRPLQDWHGOLDELOLWLHVDUHPRUHWKDQIRUHLJQ

FXUUHQF\GHQRPLQDWHGDVVHWV:HDOVRVSOLWWKHILUPVEDVHGRQWKHLUWRWDOGHEWOHYHO

WR VKRZ WKDW WKH GHJUHH RI H[FKDQJH UDWH H[SRVXUH LV FRUUHODWHG ZLWK ILQDQFLDO

SRVLWLRQ RI WKH ILUPV^« 7KH UHVXOWV VKRZ WKDW H[SRUW VDOHV UDWLR LV VWDWLVWLFDOO\ WKH

VDPHIRUILUPVWKDWKDYHWRWDOGHEWOHYHOHLWKHUPRUHRUOHVVWKDQWKHVDPSOHPHGLDQ

ZKLOH WKH OHYHO RI EDODQFH VKHHW FXUUHQF\ H[SRVXUH LV GLIIHUHQW EHWZHHQ WKH WZR

JURXSV 0RUHRYHU H[SRUW VDOHV UDWLR LV WKH VDPH IRU ILUPV LQ GLIIHUHQW OHYHO RI

EDODQFH VKHHWH[SRVXUHV%DVHGRQWKLVHYLGHQFHZHDUJXHWKDWQHWEDODQFHVKHHW

IRUHLJQ FXUUHQF\ SRVLWLRQ SOD\V D FUXFLDO UROH IRU WKH H[FKDQJH UDWH H[SRVXUH

DQDO\VLV

7KH PDLQ SXUSRVH RI WKLV VWXG\ LV WR ILJXUH RXW WKH HIIHFWV RI EDODQFH VKHHW

H[FKDQJH UDWH H[SRVXUH DQG UHDO H[FKDQJH UDWH PRYHPHQWV RQ LQYHVWPHQW :H

K\SRWKHVL]H WKDW D FRPELQHG HIIHFW RI IOXFWXDWLQJ UHDO H[FKDQJH UDWHV ZLWK QHW

IRUHLJQ FXUUHQF\ SRVLWLRQ RI 7XUNLVK ILUPV ZLOO GLUHFWO\ DIIHFW WKHLU LQYHVWPHQW

GHFLVLRQV2XUH[SHFWDWLRQVFDQEHVXPPDUL]HGDVIROORZV:KHQDILUPKDVPRUH

IRUHLJQ FXUUHQF\ GHQRPLQDWHGDVVHWVWKDQLWVIRUHLJQFXUUHQF\GHQRPLQDWHGGHEWV

DQG WKH FKDQJH LQ UHDO H[FKDQJH UDWH LQGH[ LV QHJDWLYH ZKLFK DOVR PHDQV WKH

GHSUHFLDWLRQ RI KRPH FXUUHQF\ WKH ILUP ZLOO WHQG WR LQYHVW PRUH VLQFH D ODUJHU

LQIORZWKDQH[SHFWHGZLOORFFXU,QVXFKDFDVHDILUPZLWKQHJDWLYHWRWDOH[SRVXUH

ZLOO LQFUHDVH LWV LQYHVWPHQW XQGHU D SRVLWLYH FKDQJH LQ UHDO H[FKDQJH UDWH LQGH[

UHYHDOLQJWKHDSSUHFLDWLRQRIKRPHFXUUHQF\WKXVUHVXOWLQJLQDVPDOOHUDPRXQWRI

RXWIORZ WKDQ H[SHFWHG E\ WKH ILUP 7KH FRQWUDU\ FRQGLWLRQV PXVW UHVXOW LQ WKH

RSSRVLWH RXWFRPH 7KH ILUP ZLOO LQWHQG WR DYRLG LQYHVWPHQW ZKHQ WRWDO H[SRVXUH

DQG UHDO H[FKDQJH UDWHV KDYH WKH VDPH VLJQV :H WKHQ H[DPLQH WKH UHODWLRQVKLS

between investment and firm value measured by Tobin’V4DVFRQVLVWHQWZLWKWKH

UHODWHGOLWHUDWXUHDQGH[SHFWWKDWLQYHVWPHQWDIIHFWVILUPYDOXHSRVLWLYHO\

7KH UHVXOWV IURP IL[HG HIIHFWV SDQHO GDWD UHJUHVVLRQ DQDO\VLV VXSSRUW RXU

H[SHFWDWLRQVWKDWWKHILUPVZLWKQHJDWLYHEDODQFHVKHHWH[FKDQJHUDWHH[SRVXUHDUH



- C£ 4/§4 0 0!3D¨A!54$2

f

KXUWE\WKHGHSUHFLDWLRQRIWKHYDOXHRI7/DQGWKDWWKHILUPVZLWKSRVLWLYHEDODQFH

VKHHWH[SRVXUHDUHKXUWE\WKHDSSUHFLDWLRQRIWKHYDOXHRI7/:HDOVRVKRZWKDW

LQYHVWPHQW DQG ILUP YDOXH DUH WKH GHWHUPLQDQW RI HDFK RWKHU DQG WKH HIIHFW RI

FRPELQHG HIIHFW RI IOXFWXDWLQJ UHDO H[FKDQJH UDWHV ZLWK QHW IRUHLJQ FXUUHQF\

SRVLWLRQ RI 7XUNLVK ILUPV RQ LQYHVWPHQW LV VWLOO KROG ZKHQ ILUP YDOXH LV XVHG DV

GHWHUPLQDQWRILQYHVWPHQW

7KHUHVWRIWKLVVWXG\LVSODQQHGDVIROORZV1H[WVHFWLRQVFUXWLQL]HVWKHUHODWHG

OLWHUDWXUH 6HFWLRQ WKUHH JLYHV LQIRUPDWLRQ DERXW WKH VDPSOH DQG WKH PRGHO ,Q

VHFWLRQIRXUZHSUHVHQWWKHHPSLULFDOUHVXOWVDQGFRPPHQWV6HFWLRQILYHLQFOXGHV

WKHILQDOUHPDUNV

/LWHUDWXUH6XUYH\

/LWHUDWXUHUHYLHZVKRZVWKDW$GOHUDQG'XPDVZHUHWKHILUVWWRFODLPWKDW

the exchange rate exposure exists if the firm’s value is affected by the changes in the exchange rate and to measure this effect using a regression analysis. Jorion’s   WZR IDFWRU PRGHOV UHYHDO FURVV VHFWLRQDO GLVFUHSDQFLHV EHWZHHQ

VHFXULW\UHWXUQVDQGH[FKDQJHUDWHVIRUPXOWLQDWLRQDOFRPSDQLHV+HEDVLFDOO\ILQGV

QR VWURQJ HYLGHQFH IRU WKH H[FKDQJH UDWH DQG ILUP YDOXH UHODWLRQVKLS 7KLV FDQ

SUREDEO\EHDUHVXOWRIWKHKHGJLQJVWUDWHJLHVRIWKHVHFRPSDQLHV&KRLDQG3UDVDG

GHSLFWDQLQFUHDVHLQILUPYDOXHRFFXUVGXHWRDGHSUHFLDWLRQRI86'ROODU

IRU PRUH WKDQ KDOI RI WKH $PHULFDQ PXOWLQDWLRQDO FRPSDQLHV 2Q WKH RWKHU KDQG

'RXNDVHWDODWWUDFWVDWWHQWLRQWRWKHIDFWWKDWH[FKDQJHULVNSUHPLXPLVDQ

LQWHJUDO SDUW RI WKH LQFRPHV IRU WKH -DSDQHVH ILUPV DQG LV KLJKHU IRU WKH

PXOWLQDWLRQDOVDQGKHDY\H[SRUWHUV

1HYHUWKHOHVVWKHH[SHFWHGUHODWLRQVKLSEHWZHHQWKHIOXFWXDWLRQRIH[FKDQJHUDWHV

DQG ILUP YDOXH KDV QRW EHHQ MXVWLILHG E\ HPSLULFDO ILQGLQJV  7ZR RI WKH EDVLF

SUREOHPV RQ WKLV DUHD RI UHVHDUFK DUH VKRZQ WR EH WKH VDPSOH VHOHFWLRQ DQG WKH

PLVSULFLQJ  6XIILFLHQW HYLGHQFH FRXOG QRW EH REWDLQHG IRU WKH H[FKDQJH UDWH

H[SRVXUHSUREOHPZLWKLQWKHLUVWXG\LQFOXGLQJWKHLQGXVWU\SRUWIROLRVRI&DQDGLDQ

-DSDQHVH DQG $PHULFDQ FRPSDQLHV ZKHUH WKH H[LVWHQFH RI WKH GLVFUHSDQFLHV

between the industries’ levels of international activity involvement is suspected to EH WKH PDLQ UHDVRQ 7KLV ZDV DOVR WKH FDVH ZKLFK %DUWRY DQG %RGQDU  HQFRXQWHUHG 7KH\IRXQGOLWWOHHYLGHQFHIRUWKHGHSHQGHQF\EHWZHHQV\QFKURQRXV

DEQRUPDO UHWXUQV DQG WKH 86 GROODU IOXFWXDWLRQV $Q LPSRUWDQW ILQGLQJ RI WKHLU

VWXG\ LV WKH ODJJHG HIIHFW ZKLFK FDQ EH GHVFULEHG DV D GHOD\HG UHVSRQVH WR WKH

- C£ 4/§4 0 0!3D¨A!54$2 ­

H[FKDQJHUDWHFKDQJHVRQILUPSHUIRUPDQFHVGXHWRDFRPSOH[UHODWLRQVKLSEHWZHHQ

WKHWZRLQFLGHQWV,QDGGLWLRQLWFDQEHVWDWHGWKDWWKHLQYHVWRUVDUHLQYROYHGLQD

V\VWHPDWLFHUURUZKHQHYDOXDWLQJWKHVXJJHVWHGUHODWLRQVKLSDQGWKHILUPYDOXHPD\

UHVSRQGWRDFXUUHQWH[FKDQJHUDWHIOXFWXDWLRQLQWKHIXWXUH

%RQRPR 0DUWLQV DQG 3LQWR  LQYHVWLJDWHV WKLV EDODQFH VKHHW HIIHFW E\

focusing on the Brazilian firms’ debt composition based on the argument that firms’

EDODQFH VKHHW VWUXFWXUH DIIHFWV WKHLU LQYHVWPHQW LI WKH\ DUH H[SRVHG WR IRUHLJQ

exchange risk. Although they don’ t find a negative relationship for the interaction EHWZHHQ IRUHLJQFXUUHQF\ GHQRPLQDWHG GHEW DQG H[FKDQJH UDWH GHYDOXDWLRQ WKHLU

UHVXOWV SURYLGH VXSSRUWLQJ HYLGHQFH IRU LPSHUIHFW FDSLWDO PDUNHWV 7KH UHVXOWV RI

%RQRPR 0DUWLQV DQG 3LQWR  RQO\ LPSO\ WKDW ZKHQ WKH H[FKDQJH UDWH LV

GHSUHFLDWHGWKHILUPVLQLQGXVWULHVWKDWKDYHPRUHLPSRUWHGLQSXWLQYHVWOHVV%XW

WKHLU ILQGLQJV VXJJHVW WKDW ODUJH ILUPV KDYH QHJDWLYH H[FKDQJH UDWH EDODQFH VKHHW

HIIHFW ZKLOH VPDOO ILUPV KDYH QHJOLEOH /DUJHU ILUPV DOVR WHQG WR FKDQJH GHEW

FRPSRVLWLRQPRUHLQUHVSRQVHWRDFKDQJHLQWKHH[FKDQJHUDWHULVN

+DUYH\ DQG +RRSHU  DUJXH WKDW WKH H[FKDQJH UDWH EDODQFH VKHHW HIIHFW

JUHDWO\ LQFUHDVHG LWV LQWHQVLW\ GXULQJ WKH $VLDQ &ULVLV )RUEHV  VKRZV WKDW

PRUH LQGHEWHG ILUPV KDYH ORZHU LQFRPH JURZWK DIWHU D ODUJH GHSUHFLDWLRQ

Benavente, Johnson and Morande (2003) analyses the Chilean firms’ debt FRPSRVLWLRQDQGEDODQFHVKHHWHIIHFWVRIH[FKDQJHUDWHGHSUHFLDWLRQ$FFRUGLQJWR

%HQDYHQWH-RKQVRQDQG0RUDQGHSULYDWHGHEWLQIRUHLJQFXUUHQF\PD\EHDQ

LPSRUWDQWIDFWRUEHKLQGFULVLV7KHLUDQDO\VLVVKRZVWKDWODUJHUILUPVUHVHUYHKLJKHU

SURSRUWLRQ RI GROODUGHQRPLQDWHG GHEW 7KHUHIRUH FXUUHQF\ GHSUHFLDWLRQ VKRXOG

FDXVHDFRQWUDFWLRQRILQYHVWPHQWIRUWKHVHGROODUindebted firms if they don’ t have PDLQ IRHULJQ FXUUHQF\ GHQRPLQDWHG LQFRPHV IURP WKHLU H[SRUWV %XW WKHUH LV QR

HYLGHQFH IRU WKH H[SDQVLRQ LQ &KLOHDQ FRUSRUDWH LQYHVWPHQW RU SRVLWLYH EDODQFH

VKHHWHIIHFWEHFDXVHRIWKHFROODSVHRI&KLOHDQHFRQRP\LQODWHV

&DUUDQ]DHWDOLQWKHLUVWXG\LQFOXGLQJQRQOLVWHG3HUXYLDQFRPSDQLHV

examine the relationship between currency depreciation and firms’ investing EHKDYLRU 7KH\ FODLP WKDW WKHUH VKRXOG EH D QHJDWLYH UHODWLRQVKLS EHWZHHQ

LQYHVWPHQW DQG WKH LQWHUDFWLRQ HIIHFW RI GROODU GHQRPLQDWHG GHEW ZLWK WKH UHDO

H[FKDQJHUDWHGHSUHFLDWLRQ%DVHGRQWKHLUDUJXPHQWKLJKGROODUFRQFHQWUDWHGGHEW

FRPSDQLHVVXIIHUZLWKWKHUHDOH[FKDQJHUDWHGHSUHFLDWLRQE\LWVHOIDQGWKHQWHQGWR

LQYHVW OHVV 7KHLU HYLGHQFH VXSSRUWV WKLV K\SRWKHVLV +RZHYHU WKHLU UHVXOWV VKRZ

WKDWH[SRUWDQGWUDGDELOLW\ZHUHQRWIDFWRUVWRH[SODLQLQYHVWPHQWOHYHO

- C£ 4/§4 0 0!3D¨A!54$2

®

,QWKHLUILUPOHYHOVWXG\DPRQJVW0H[LFDQFRPSDQLHV3UDWDSHWDOILQGD

QHJDWLYH UHODWLRQVKLS EHWZHHQ KROGLQJ GROODU GHQRPLQDWHG GHEW RU HDUQLQJV DQG

LQYHVWPHQWRIDFRPSDQ\HVSHFLDOO\LQFDVHRIGHYDOXDWLRQ7KH\DOVRVKRZWKDWWKH

QHJDWLYHEDODQFHVKHHWHIIHFWRQLQYHVWPHQWH[SUHVVHGLQWHUPVRIERWKIRUHLJQGHEW

DQGWKHLQWHUDFWLRQRIIRUHLJQGHEWZLWKH[FKDQJHUDWHFKDQJHVH[LVWV,Q0H[LFRLW

DOVR VHHPV WR EH WKH FDVH WKDW ODUJH ILUPV DQG H[SRUWRULHQWHG ILUPV HQJDJH LQ

LQWHQVLYHIRUHLJQFXUUHQF\ERUURZLQJ

.L\PD]  LQ KLV VWXG\ H[DPLQLQJ  7XUNLVK FRPSDQLHV LQ WKH  –

 SHULRG VWDWHV WKDW 7XUNLVK FRPSDQLHV HVSHFLDOO\ WKRVH ZKLFK RSHUDWH DW

WH[WLOH PDFKLQHU\ DQG FKHPLFDO LQGXVWULHV DUH VHULRXVO\ VXEMHFW WR H[FKDQJH UDWH

H[SRVXUH)XUWKHUPRUHKHFODLPVWKHH[FKDQJHULVNDXJPHQWVZKHUHWKHH[SRUWRU

LPSRUW UDWHV RI WKH FRPSDQLHV LQFUHDVH DQG OHVV H[FKDQJH UDWH ULVN H[LVWV LQ WKH

SHULRGIROORZLQJWKHHFRQRPLFFULVLVZLWKUHVSHFWWRWKHSUH–FULVLVSHULRG

+RZHYHULQFRQVLVWHQWZLWKWKHWKHRU\RQO\DQHJDWLYHHIIHFWZDVREWDLQHGLQWKLV

VWXG\

6XPPDU\6WDWLVWLFVRI&XUUHQF\([SRVXUHVDQGWKH0RGHO

7KLVVWXG\FRYHUVWKH–SHULRGIRU7XUNLVKLQGXVWULDOILUPVWKDWDUH

OLVWHGLQWKH,VWDQEXO6WRFN([FKDQJH,6(%DQNVPXWXDOIXQGVLQYHVWPHQWDQG

LQVXUDQFH FRPSDQLHV DUH H[FOXGHG IURP WKH VDPSOH EHFDXVH RI WKH GLIIHUHQFHV RI

ILQDQFLDOFKDUDFWHULVWLFVWKDWDUHYHU\LPSRUWDQWLQWHUPVRIH[DPLQLQJWKHHIIHFWRI

balance sheet exchange rate exposure on firms’ investment. Since investment is GHILQHGDVLQFUHDVLQJLQFDSLWDOVWRFNRIILUPVLQDSDUWLFXODU\HDUWKHREMHFWLYHVRI

PDNLQJ LQYHVWPHQW WR WDQJLEOH DVVHWV IRU LQGXVWULDO DQG ILQDQFLDO ILUPV DUH DOVR

GLIIHUHQW

7KH PDLQ VRXUFH RI WKH GDWD XVHG LQ WKLV VWXG\ LV WKH ,6( GDWDEDVH 7KH ,6(

SXEOLVKHVILQDQFLDOWDEOHVRIILUPVOLVWHGLQWKHH[FKDQJHZLWKWKHLUIRRWQRWHV7KH

ILUPOHYHOGDWDUHJDUGLQJWKHOHYHORILQYHVWPHQWDQGEDODQFHVKHHWIRUHLJQFXUUHQF\

H[SRVXUH DUH JDWKHUHG IURP IRRWQRWHV RI HDFK ILUP )LUPV VKRZ WKHLU DQQXDO

LQYHVWPHQW LQ WKH IRRWQRWH  DQG WKHLU IRUHLJQ FXUUHQF\ GHQRPLQDWHG DVVHWV DQG

OLDELOLWLHVLQWKHIRRWQRWH8QIRUWXQDWHO\WKHUHLVQRVWDQGDUGL]DWLRQRQUHSRUWLQJ

RI IRUHLJQ FXUUHQF\ SRVLWLRQV 7KHUHIRUH ZH FUHDWH VRPH VXE FODVVLILFDWLRQV RI

IRUHLJQ FXUUHQF\ GHQRPLQDWHG DVVHWV DQG OLDELOLWLHV :H UHSRUW WKH GHVFULSWLYH

VWDWLVWLFVIRUVHYHUDOEDODQFHVKHHWH[SRVXUHVLQFRUUHVSRQGLQJ\HDUVIURP\HDU

WRLQ7DEOH

- C£ 4/§4 0 0!3D¨A!54$2 ¯

2XU SULPDU\ PHDVXUHPHQW RI IRUHLJQ FXUUHQF\ H[SRVXUH IRU 7XUNLVK LQGXVWULDO

ILUPV LV WRWDO H[SRVXUH ZKLFK LV WKH GLIIHUHQFH EHWZHHQ 7/ YDOXH RI IRUHLJQ

FXUUHQF\GHQRPLQDWHGDVVHWVDQG7/YDOXHRIIRUHLJQFXUUHQF\OLDELOLWLHVDWWLPHW

7KLVGLIIHUHQFHLVVFDOHGE\WKH7/YDOXHRIWDQJLEOHDVVHWVDWWLPHW:HPXOWLSO\

ODJJHG YDOXH RI WDQJLEOHDVVHWVZLWKWKHDQQXDOLQIODWLRQUDWHDWWLPHWEHFDXVHRI

KLJK LQIODWLRQ UDWHV LQ 7XUNLVK HFRQRP\ 7KH DQQXDO LQIODWLRQ UDWHV LQ WKH VDPSOH

SHULRGDUHDQGIRUWKH\HDUVDQG

UHVSHFWLYHO\ 2WKHU EDODQFH VKHHW H[SRVXUH PHDVXUHV DUH VKRUW DQG ORQJWHUP

H[SRVXUHV ZKLFK DUH FDOFXODWHG DV WKH GLIIHUHQFH EHWZHHQ 7/ YDOXHV RI IRUHLJQ

FXUUHQF\ GHQRPLQDWHG VKRUW DQG ORQJWHUP DVVHWV DQG OLDELOLWLHV DW WLPH W 'HEW

H[SRVXUHLVWKHUDWLRRIWRWDOIRUHLJQFXUUHQF\GHQRPLQDWHGILQDQFLDOGHEWV$OOWKH

H[SRVXUHPHDVXUHPHQWVDUHVFDOHGE\WDQJLEOHDVVHWVDWWLPHWPXOWLSOLHGE\WKH

DQQXDOLQIODWLRQUDWHDWWLPHW

7KH PHDQ YDOXHV RI WRWDO H[SRVXUH DUH QHJDWLYH IRU HDFK VDPSOH \HDU 7KH

QHJDWLYHEDODQFHVKHHWIRUHLJQH[FKDQJHH[SRVXUHLQGLFDWHVWKDW7XUNLVKLQGXVWULDO

ILUPVRQDYHUDJHKROGVPRUHIRUHLJQFXUUHQF\GHQRPLQDWHGOLDELOLWLHVWKDQIRUHLJQ

FXUUHQF\GHQRPLQDWHGDVVHWV7KLVLQGLFDWHVFXUUHQF\PLVPDWFKLQJRQWKHEDODQFH

VKHHW:HFDQVXUHO\VD\WKDW7XUNLVKLQGXVWULDOILUPVRQDYHUDJHGRQRWKHGJHWKHLU

SRVLWLRQVZLWKRQEDODQFHVKHHWDctivities. However, we cannot say that they don’ t hedge their risk because we don’ t have available information on whether Turkish ILUPVXVHRIIEDODQFHVKHHWULVNPDQDJHPHQWLQVWUXPHQWV

°*± ²³´µ

¶k´·¸¹º»¼º½$´¾¼±¼º·D¼º¸·¿9À ¹*Á*±³±  ¸´¾ à ´´¼Ä¥Å$» À ·Æ ¹´·

ÇŸÈ O$L N9V MJNTMJa/JTN9V MJQ/TNWI$JQ R]]JMJPKJÉ$JWÊJJPËGÌ\Í$T^V$JL]Ÿ]L!MJRS!P'KV MMJPK`/QJP$L!aËRPTWJQlTNNDJWN¥TPQ

GÌ[Í$T^V$JL]]L!MJRS!PKV MMJPK`ËQJP$L!aËRPTWJQ/^RTÉR^RWRJN*TWWRa/J

X GIRN*Q R]]JMJPKJkRN*NKT^JQÉ `WI$JGÌ\Í$T^V$J

L]lWTP$S RÉ$^JbTNNDJWNdTWkWRa/J

59A alV$^WRO$^RJQZÉ `ZWI$JbTP P VT^RP$]^TWRL!PUM9TWJ[]L!MlWRa/J

X*j I$L!MWWJMaÎ]L!MJRS!P

KV MMJPK`ËTNNDJWN¥ITÍ JWI MJJkN9V ÉK^TNNR]RKTWRL!PNÏ KTN9I'TPQÉTP Ð'TKKL!V P WNÑ MJKJRÍ$TÉ$^JNTPQ/NDJKV M9RWRJNX!Ò^^iRN

NKT^JQlGÌ\Í$T^V$JL]Ÿ]L!MJRS!P'KV MMJPK`/TNNDJWNXÓPlWI$J^RTÉR^RW`lNRQJÑ GÌdÍ$T^V$JL]“]L!MJRS!PËKV MMJPK`lN9I$L!MW WJMa

QJÉ WÑN9I$L!MWÔWJMaÕTPQH^L!P$S ÔWJMaÖ]RPTPKRT^*QJÉ WN/TMJdNKT^JQ[É `HGÌ×Í$T^V$JL]]L!MJRS!PZKV MMJPK`H^RTÉR^RWRJNX

Ø

JÉ WJ

È

O$L N9V MJ[RNËGÌÙÍ$T^V$J\L]kWL!WT^]L!MJRS!P_KV MMJPK`ZQJP$L!aËRPTWJQb]RPTPKRT^QJÉ WNËNKT^JQHÉ `HWTP$S RÉ$^J

TNNDJWNËTWWRa/J

59A alV$^WRO$^RJQHÉ `HWI$J\TP P VT^RP$]^TWRL!PÚM9TWJ\TWWRa/J

;

GŸTÉ$^JdT^NDL[MJO$L!MWN/TP P VT^¥M9TWJL]

RP$]^TWRL!PUKT^KV$^TWJQHVNRP$SÚKL!PN9V a/JMkO M9RKJ\RPQJÈ TPQÚKITP$SJ\RPÚMJT^*JÈ KITP$SJM9TWJdRPQJ ÈÚÛqÜÝ Ý

­)Þ

Üe e!ß

KT^KV$^TWJQÉ `WI$J*àJP WM9T^ áTP ÐVNRP$SKL!PN9V a/JMO M9RKJRPQ RKJN]L!M ÜÝ KL!V P WM9RJNX

â$ã ã ã â$ã ã µ â$ã ãâ â$ã ãä

g JTP

g

JQ RTqP

g

JTP

g

JQ RTqP

g

JTP

g

JQ RTqP

g

JTP

g

JQ RTqP

G“L!WT^ ÇŸÈ O$L N9V MJ ÔeXc c ÔeXÜ ¯ ÔeXc Ý ÔeXÜ­ ÔeXc © ÔeXÜ© ÔeXÜ ­ ÔeXÜe

j I$L!MWÔWJMa ÇŸÈ O$L N9V MJ ÔeXܯ ÔeXÜ© ÔeXc © ÔeXÜ Ü ÔeXÜ ­ ÔeXe ¯ ÔeXe ¯ ÔeXe ­

à*TN9I/TPQáTP ÐÒKKL!V P WN eXc Ý eXe!f eX

© Ü eXÜ Ü eX

© ® eXܯ

eX

© e eXe Ý

å

JKJRÍ$TÉ ^JN eX

® Ý

eX

Ý ­

eX

­ ­ eX

® f eXf æ eXf ¯

eX

­ c eX

­ ®

j$JKV M9RWRJN eXe Ü

eXe e eXe Ü

eXe e eXe Ü

eXe e eXe Ü

eXe e

j I$L!MWÔWJMa Ø JÉ WN eX

©$¯

eXÜ æ eX

© f eXÜ Ü eX

© c eXÜ­

eX

© f eXÜ­

j I$L!MWÔWJMaçhiRPTPKRT^ Ø JÉ WN eXf Ý eXf Ý eX

­ e eX

­ ­

eXf æ eX

­ Ü eXf ¯

eXf æ

̓L!P$S ÔWJMaçhiRPTPKRT^

Ø

JÉ WN eX

Üe eXe e eXe Ý

eXe e eX

Ü Ü

eXe e eX

Üe eXe e

̓L!P$S ÔWJMa ÇŸÈ O$L N9V MJ ÔeXe!f eXe e ÔeXe ® eXe e ÔeXe ¯

eXe e ÔeXe ¯

eXe e

Ø JÉ W ÇŸÈ O$L N9V MJ eXc ©

eXÜf eX

© ©

eXÜ® eXc Ý eXÜf eXc Ü eXÜf

à¥ITP$SJRP å

JT^

ǟÈ

X å

TWJHèPQX eX

Ü­ ÔeXc c ÔeXe!f eXc ¯

ÒP P VT^ èP$]^TWRL!P eX

© Ý

eX® Ý

eX

© e eXc ©

- C£ 4/§4 0 0!3D¨A!54$2

æ

7KH PHDQ YDOXHV RI VKRUW DQG ORQJWHUP IRUHLJQ H[FKDQJH EDODQFH VKHHW

H[SRVXUHV DUH DOVR QHJDWLYH EXW WKH UDWLR RI VKRUW WHUP H[SRVXUH LV KLJKHU

0RUHRYHU WKH PHGLDQ YDOXHV RI WRWDO VKRUW DQG ORQJ WHUP H[SRVXUHV DUH VWLOO

QHJDWLYH EXW ORZHU WKDQ WKH PHDQ YDOXHV 7KLV DOVR LQGLFDWHV WKDW WKH QXPEHU RI

ILUPVWKDWKDYHFXUUHQF\PDWFKLQJRQWKHEDODQFHVKHHWLVQRWODUJH([DPLQLQJWKH

FRPSRVLWLRQRIVKRUWWHUPIRUHLJQFXUUHQF\GHQRPLQDWHGDVVHWVVKRZVWKDWDURXQG

RIWKHPDUHFDVKDQGEDQNDFFRXQWV5HFHLYDEOHVDUHDURXQGDQGLV

IRURWKHUIRUHLJQFXUUHQF\GHQRPLQDWHGVKRUWWHUPDVVHWV2QWKHOLDELOLW\VLGH

RIIRUHLJQFXUUHQF\GHQRPLQDWHGOLDELOLWLHVLVVKRUWWHUPILQDQFLDOGHEWVDQGRI

WKHPLVORQJWHUPILQDQFLDOGHEWV

7KHPDLQLVVXHKHUHLVWKDWIRUHLJQFXUUHQF\H[SRVXUHVKRXOGEHUHODWHGZLWKWKH

FKDQJHLQUHDOYDOXHRI7/7KHUHIRUHZHDOVRUHSRUWWKHDQQXDOSHUFHQWDJHFKDQJH

LQUHDOIRUHLJQH[FKDQJHUDWHLQGH[ FDOFXODWHGE\WKH&HQWUDO%DQNIURP

FRQVXPHUSULFHLQGLFHVIRUFRXQWULHV7KHFKDQJHVDUHSRVLWLYHDQGLQ

DQGDQGQHJDWLYHDGLQDQG7KHSRVLWLYHFKDQJH

LQGLFDWHVWKDW7/KDVEHHQRYHUYDOXHGZHPD\DOVRVD\WKDW7/KDVDSSUHFLDWHGRQ

average, against the 19 countries’ currencies). ThisPDNHVLPSRUWEHFDXVHLPSRUWV

JRRGVJHWFKHDSHURUIRUHLJQGHEWVEHFDXVHRIWKHRSSRUWXQLW\WRJHWSURILWIURP

FRYHUHGLQWHUHVWDUELWUDJHPRUHDWWUDFWLYH2QWKHRWKHUKDQGWKHQHJDWLYHFKDQJH

PD\ LQGLFDWH WKDW 7/ KDV EHHQ XQGHUYDOXHG +RZHYHU ZH FDQ VD\ WKDW 7/ KDV

DSSURDFKHG WR LWV YDOXH PHDVXUHG E\ SXUFKDVLQJ SRZHU SDULW\ VLQFH WKH UHDO

H[FKDQJHUDWHLQGH[LVRYHULQWKHVDPSOHSHULRG7KHQHJDWLYHFKDQJHPD\

also indicate that TL has depreciated, on average, against the 19 countries’

FXUUHQFLHV ,Q WKLV FDVH H[SRUWLQJ LV PRUH DWWUDFWLYH RU 7/ YDOXH RI IRUHLJQ

FXUUHQF\ GHQRPLQDWHG OLDELOLWLHV LQFUHDVHV DQG 7/ YDOXH RI IRUHLJQ FXUUHQF\

GHQRPLQDWHGDVVHWVGHFUHDVHV:LWKWKHQHJDWLYHH[SRVXUHWKDWLVODUJHIUDFWLRQRI

firms’ debt is foreign cuUUHQF\GHQRPLQDWHGZKLOHDVVHWVDUHPRVWO\GHQRPLQDWHGLQ

domestic currency, a large real depreciation deteriorates the firms’ net worth. This will affect firms’ investment. 

7KHUHFRXOGEHDORWRIVWUDWHJLHVWKDW7XUNLVKILUPVFRXOGKDYHIROORZHGZLWK

WKHLUH[SHFWDWLRQVRQIRUHLJQH[FKDQJHUDWH0RUHRYHULWLVFOHDUWKDWWKHFKDQJHLQ

YDOXH RI 7/ DIIHFWV WKH FRPSRVLWLRQ RI EDODQFH VKHHW IRU 7XUNLVK ILUPV 2XU

REMHFWLYHLVQRWWRH[DPLQHKRZIRUHLJQFXUUHQF\SRVLWLRQVFKDQJHZLWKWKHFKDQJH

LQWKHYDOXHRI7/:HFDQRQO\VD\LQWKLVSRLQWDVVKRZQLQ7DEOHWKDWDQ\KRZ

IRUHLJQFXUUHQF\GHQRPLQDWHGOLDELOLWLHVRI7XUNLVKLQGXVWULDOILUPVDUHPRUHWKDQ

- C£ 4/§4 0 0!3D¨A!54$2

Ý

WKHLU IRUHLJQ FXUUHQF\ GHQRPLQDWHG DVVHWV 2XU VWXG\ IRFXVHV RQ WKH HIIHFW RI

H[FKDQJHUDWHFKDQJHVRQWKHOHYHORILQYHVWPHQWWKURXJKVHYHUDOW\SHVRIEDODQFH

VKHHW IRUHLJQ H[FKDQJH UDWH H[SRVXUHV 7KHUHIRUH RXU DQDO\VLV LV GHVLJQHG WR

H[DPLQHRQO\WKLVLVVXH

7DEOH  SUHVHQWV QXPEHU RI REVHUYDWLRQV DQG WKUHH EDODQFH VKHHW H[SRVXUHV

WRWDOVKRUWDQGGHEWH[SRVXUHVRIWKHILUPVFODVVLILHGLQWRPDMRULQGXVWULDOJURXSV

:H VHH IURP WKLV WDEOH WKDW ILUPV LQ DOO LQGXVWULHV H[FHSW ZKROHVDOH WUDGH DQG

WUDQVSRUWDWLRQ FRPPXQLFDWLRQ DQG GLVWULEXWLRQ KDYH QHJDWLYH EDODQFH VKHHW

H[FKDQJH UDWH H[SRVXUHV ([SRVXUHV DUH KLJKHU LQ IROORZLQJ LQGXVWULHV IRRG

EHYHUDJHVWREDFFR WH[WLOHFORWKLQJOHDWKHU FKHPLFDOVSHWUROHXPUXEEHUSODVWLF

PDWHULDO FRQVWUXFWLRQ HOHFWULFJDVZDWHU UHWDLO WUDGH^é 0RUH LQWHUHVWLQJO\ H[SRUW

RULHQWHGVHFWRUVVXFKDVWH[WLOHDQGPDWHULDOFRQVWUXFWLRQKDYHWKHKLJKHVWQHJDWLYH

H[SRVXUHVZKHUHDVRQHPD\H[SHFWMXVWWKHRSSRVLWH2QHUHDVRQEHKLQGWKLVPLJKW

EHWKDWWKHVHILUPVQHHGILQDQFLQJWRVXSSRUWWKHLUH[SRUWVDOHVDQGIRUHLJQFXUUHQF\

GHQRPLQDWHGGHEWILQDQFLQJLVFKHDSHULQWKHFDVHRIRYHUYDOXHG7/+RZHYHUDQ

XQH[SHFWHGGHSUHFLDWLRQRIGRPHVWLFFXUUHQF\PD\KXUWWKHP

7KH ILUVW DQDO\VLV WKDW ZH XVH LQ WKLV VWXG\ LV WKH FRPSDULVRQ RI EDODQFH VKHHW

H[SRVXUHV RI WKH ILUPV WKDW DUH VSOLW EDVHG RQ VL]H LQGHEWHGQHVV DIILOLDWLRQ ZLWK

KROGLQJV DQG EDQNV :H DOVR FRPSDUH VRPH ILQDQFLDO FKDUDFWHULVWLFV RI WKH ILUPV

WKDWDUHFODVVLILHGDFFRUGLQJWRWRWDOEDODQFHVKHHWH[SRVXUHVIRUHDFKVDPSOH\HDU

)VWDWLVWLFV WKDW GHSHQG RQ WKH QRUPDO GLVWULEXWLRQ DUH XVHG IRU FRPSDULQJ WKH

VWDWLVWLFDOVLJQLILFDQFHGLIIHUHQFHVEHWZHHQWKHPHDQYDOXHVRIWKHYDULDEOHVIRUWKH

WZR GHILQHG JURXSV :LOFR[RQ WHVW VWDWLVWLFV DUH DOVR HPSOR\HG WR FRPSDUH WKH

PHGLDQYDOXHV)L[HGHIIHFWVSDQHOGDWDDQDO\VLVWKDWFRQWUROVERWKWKHGLIIHUHQFHV

EHWZHHQILUPVDQGWLPHHIIHFWVLVSHUIRUPHGWRH[DPLQHWKHHIIHFWVRIEDODQFHVKHHW

H[FKDQJHUDWHH[SRVXUHDQGUHDOH[FKDQJHUDWHPRYHPHQWVRQLQYHVWPHQWDQGWKH

HIIHFWVRILQYHVWPHQWRQWKHILUPYDOXH

7KH IROORZLQJ HTXDWLRQV SUHVHQW IL[HG HIIHFW SDQHO GDWD UHJUHVVLRQPRGHOVWKDW

ZHXVHLQRXUDQDO\VLV







ê

YZJQLP$L!Wa/JP WRL!P/RPQ!VN9WM9RJNL]iI$JT^WI/NDJMÍ$RKJNTPQQJ]JPNDJÉ$JKTVNDJ¥WI$JMJ*RNŸL!P$^`L!P$J]RMaÙMJO MJNDJP WRP$S

- C£ 4/§4 0 0!3D¨A!54$2

Ü e

,QYHVWPHQW(TXDWLRQ

,^ëì.^ëìí

«

  

«

([S^ëì.^ëìí

«



é

([S^ëì.^ëìí

«

5(5^ì  ^î (6^ëì.^ëìí

«



 ^ï 1:&^ëì.^ëìí

«

 ^ð ORJ.^ëìí

«

 ^ñ 7RELQ¶V4 ^ëì ^ì ^ëì  ZKHUH ,^ëìLVLQYHVWPHQWOHYHOZKLFKLVPHDVXUHGE\WKHDPRXQWRIWDQJLEOHDVVHWV

ERXJKWDWWLPHW,WLVVFDOHGDVHYHU\RWKHUYDULDEOHLVE\ODJJHGWDQJLEOHDVVHWV

PXOWLSOLHGE\WKHDQQXDOLQIODWLRQUDWHDWWLPHW.^ëìí

«

([S^ëìUHSUHVHQWVEDODQFHVKHHW

IRUHLJQ H[FKDQJH H[SRVXUH :H XVH WKUHH GLIIHUHQW EDODQFH VKHHW H[SRVXUH

PHDVXUHV WRWDO H[SRVXUH VKRUWWHUP H[SRVXUH DQG GHEW H[SRVXUH ,QWHUDFWLRQ

YDULDEOH>([S^ëì.^ëìí

«

5(5^ì@LVFUHDWHGE\PXOWLSO\LQJEDODQFHVKHHWH[SRVXUHZLWK

DQQXDOFKDQJHLQUHDOH[FKDQJHUDWHLQGH[5(5^ì7KHHVWLPDWHGFRHIILFLHQWRIWKLV

LQWHUDFWLRQ WHUP ZLOO PHDVXUH WKH HIIHFW RI EDODQFH VKHHW H[SRVXUH DQG UHDO

H[FKDQJHUDWHPRYHPHQWVRQLQYHVWPHQW&RQWUROYDULDEOHVDUHH[SRUWVDOHV(6^ëì

OLTXLGLW\ PHDVXUHG E\ WKH GLIIHUHQFH EHWZHHQ FXUUHQW DVVHWV DQG VKRUWWHUP

OLDELOLWLHV1:&^ëì7KHVHWZRYDULDEOHVDUHDOVRVFDOHGE\WDQJLEOHDVVHWVDWWLPHW

PXOWLSOLHG E\ WKH DQQXDO LQIODWLRQ UDWH DW WLPH WORJ.^ëìí

«

 LV XVHG WR FRQWURO ILUP

size. Tobin’ s Q measures the firm value. ^ëì LVIRUILUPVSHFLILFGXPPLHVDQG ^ìIRU

WLPH GXPPLHV LQ WKH SDQHO GDWD DQDO\VLV 7LPH GXPPLHV DOVR FRQWURO DOO PDFUR

YDULDEOHV LQFOXGLQJ WKH GLUHFWHIIHFWRIUHDOH[FKDQJHUDWHFKDQJH>&DUUDQ]DHWDO

@)RULQVWDQFHWKHGXPP\IRUWKH\HDUHQDEOHVXVWRFRQWUROWKHHIIHFW

RIWKHHFRQRPLFFULVLV

)LUPYDOXHHTXDWLRQ

7RELQ¶V4  

«

,^ëì.^ëìí

«



é

1:&^ëì.^ëìí

«

 ^î ORJ.^ëìí

«

 ^ï '^ëì.^ëìí

«

 ^ëì ^ì ^ëì  Tobin’ s Q ratio is the market value of equity plus shortWHUPOLDELOLWLHVSOXVORQJ

WHUPOLDELOLWLHVDWWLPHWVFDOHGE\ODJJHGDVVHWVPXOWLSOLHGE\WKHDQQXDOLQIODWLRQ

UDWHIRUWLPHW'^ëì LVWKHVXPRIVKRUWDQGORQJWHUPGHEWV'^ëì.^ëìí

«

FRQWUROVIRU

WRWDOGHEWOHYHORIILUPV

:HDOVRWHVWWKHHQGRJHQHLW\RILQYHVWPHQWDQGILUPYDOXHE\XVLQJWKH+DXVPDQ

WHVW >:RROGULGJH  SDJHV @ 7KLV WHVW LV D WZRVWDJH WHVW )LUVW WKH

UHVLGXDOVDUHREWDLQHGIURPLQYHVWPHQWILUPYDOXHHTXDWLRQDQGWKHQDUHXVHGLQ

ILUP YDOXH LQYHVWPHQW HTXDWLRQ DV DFRQWUROYDULDEOH7KHHVWLPDWHGFRHIILFLHQWV

DQG WKHLU VLJQLILFDQFH OHYHOV DUH UHSRUWHG DV +DXVPDQ WHVW VWDWLVWLFV 7DEOH 

6LJQLILFDQW HVWLPDWHG FRHIILFLHQW ZRXOG LQGLFDWH WKDW WKH UHODWHG YDULDEOH LV

HQGRJHQRXV

- C£ 4/§4 0 0!3D¨A!54$2 Ü Ü

(PSLULFDO5HVXOWV

8QLYDULWH$QDO\VLVIRU([SRVXUHDQG)LQDQFLDO&KDUDFWHULVWLFVRI)LUPV

,QWKHILUVWSDUWRIRXUDQDO\VLVZHZRXOGOLNHWRH[DPLQHWKHGHWHUPLQDQWVRIWKH

GHJUHHRIH[FKDQJHUDWHH[SRVXUH:HZRXOGOLNHWRVHHLIVRPHILUPVKDYHGLIIHUHQW

OHYHOV RI EDODQFH VKHHW H[FKDQJH UDWH H[SRVXUH )RU LQVWDQFH ODUJH ILUPV DUH

LQYROYHGLQPRUHIRUHLJQFXUUHQF\ILQDQFLQJEHFDXVHWKH\DUHPRUHGLYHUVLILHGDQG

KDYHOHVVEDQNUXSWF\ULVN2QWKHRWKHUKDQGDVGLVFXVVHGE\5DMDQDQG=LQJDOHV

SVL]HLVDSUR[\IRUWKHLQIRUPDWLRQWKDWRXWVLGHUVKDYH7KLVPHDQV

WKDWDV\PPHWULFLQIRUPDWLRQSUREOHPVPD\EHOHVVVHYHUHLQODUJHILUPV,IWKLVLV

WKH FDVH WKH\ SUHIHU HTXLW\ UHODWLYH WR GHEW 7KLV PD\ FDXVH WR UHGXFH IRUHLJQ

FXUUHQF\ILQDQFLQJRIODUJHILUPV



)LUPV DIILOLDWHG ZLWK D EXVLQHVV JURXS RU RZQHG E\ D EDQN KDYH DGYDQWDJH WR

FUHDWHLQWHUQDOILQDQFLQJRSSRUWXQLWLHVDQGWKHUHIRUHWKH\JDLQDGYDQWDJHVWRKDYH

PRUHIRUHLJQFXUUHQF\GHEWILQDQFLQJ:HDOVRVSOLWWKHILUPVEDVHGRQWKHLUWRWDO

GHEW OHYHO WR VKRZ WKDW WKH GHJUHH RI H[FKDQJH UDWH H[SRVXUH LV FRUUHODWHG ZLWK

ILQDQFLDO SRVLWLRQ RI WKH ILUPV $OO WKHVH LVVXHV DUH LPSRUWDQW EHFDXVH WKH

UHODWLRQVKLSEHWZHHQLQYHVWPHQWDQGILUPYDOXHLVGLUHFWO\UHODWHGZLWKKRZILUPV

ILQDQFHWKHLULQYHVWPHQW

7DEOHUHSRUWVWKHFRPSDULVRQUHVXOWVRIWRWDODQGGHEWH[SRVXUHVRIWKHILUPV

GLYLGHGDFFRUGLQJWRWKHVL]HLQHDFKVDPSOH\HDU)LUPVL]HLVPHDVXUHGE\WKH7/

YDOXH RI WRWDO DVVHWV :H XVH WZR GLIIHUHQW FODVVLILFDWLRQV  :H FRPSDUH

H[SRVXUHVRIILUPVWKDWKDYHWRWDODVVHWVOHYHOHLWKHUPRUHRUOHVVWKDQWKHVDPSOH

PHGLDQDQGZHFRPSDUHH[SRVXUHVRIILUPVLQWKHILUVWTXDUWLOHVPDOOHUILUPV ZLWK WKH IRXUWK TXDUWLOH ELJJHU ILUPV 7KH UHVXOWV VKRZ WKDW PHDQ DQG PHGLDQ

YDOXHVRIWRWDOH[SRVXUHDUHQHJDWLYHIRUVPDOODQGODUJHILUPVDQGDOVRIRUILUPVLQ

HDFKTXDUWLOH:HDOVRREVHUYHWKDWWKHUHLVQRVWDWLVWLFDOO\GLIIHUHQFHLQWRWDODQG

GHEWH[SRVXUHVEHWZHHQVPDOODQGODUJHILUPV7KLVLVDOVRWUXHIRUILUPVLQWKHILUVW

DQGWKHIRXUWKTXDUWLOHVZLWKWKHH[FHSWLRQLQ\HDUWKHPHGLDQYDOXHVDUHVWLOO

VWDWLVWLFDOO\ WKH VDPH LQ WKLV \HDU $OO WKHVH UHVXOWV LQGLFDWH WKDW VL]H LV QRW WKH

GHWHUPLQDQWIRUWKHGHJUHHRIH[FKDQJHUDWHH[SRVXUH