Evaluation of Foreign Exchange Rate Exposure for Publicly Listed Firms of Chinese A Shares

This studyʹs objective was to evaluation the issue of exchange rate exposure about publicly listed firms of Chinese A Shares. A new model of Measure and Calculate with lagged exchange rate variable is proposed. The new model can estimate the dynamic relation between exchange rate movements and firm value, hence overcome the deficiency of Jorionʹs model. The compare of the two modelsʹ empirical results indicates that the new model is more useful and effective in estimating the foreign exchange rate exposure. The following conclusions:⑴ 43.59% of the sample firms are highly exposed to lagged foreign exchange risks and 85.29% of them benefit from the depreciation of RMB; ⑵ not to find the significant relation between firm size and exposure; ⑶ to consider the more degree of foreign exchange rate exposure for manufacturing firms.