Professional Documents
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,
= +
1
+
2
+
,
,
is the stock return of firm i in country j
+
2
+
,
, where
,
is the stock
return of firm i in country j,
2
+
3
+
4
+
5
+ , where book value of
leverage is the total debt divided by the sum of book value of equity and total debt; market value of leverage is
the total debt divided by the sum of market value of equity and total debt; crisis is the dummy variable that equal
to one in crises years, and equal to zero in the rest; profitability is earnings before interest and tax divided by the
book value of assets; growth opportunity is the market value of equity divided by book value of equity; firm size
is the natural log of the book value of the firms assets; tangibility is the book value of the firms plant and
vehicles divided by the book value of the firms assets; current ratio is the current assets divided by current
liabilities. All data resources are from Datastream.
Table IX
Industry
Crisis III (2004 - 2011) with Negative Exchange Exposure
Chile HK South Korea Russia
BV MV BV MV BV MV BV MV
Oil & Gas 0.0896 0.0753
(2.59)*** (1.93)*
Basic Materials -0.0459 -0.0400 0.0495 0.0645 -0.2193 -0.2363 0.3190 0.3239
(-1.97)* (-2.47)** (2.27)** (2.43)** (-3.75)*** (-3.53)*** (4.53)*** (4.48)***
Industrials 0.0861 0.0782 0.0183 0.0392 0.0270 0.0669 0.2955 0.2891
(2.25)** (1.92)* (0.14) (2.32)** (0.99) (2.16)** (3.93)*** (4.72)***
Consumer Goods 0.0233 0.0766 -0.0866 0.0418 0.1302 0.1436 0.1279 0.0136
(0.95) (3.98)*** (-1.11) (1.89)* (1.92)* (1.90)* (1.78)* (0.14)
Health Care -0.0786 -0.1007 -0.0073 -0.0132
(-2.98)*** (-3.22)*** (-0.27) (0.42)
Consumer Services -0.0393 -0.0417 0.0257 -0.0105 -0.0496 -0.0666 0.0849 0.1059
(-1.25) (-1.32) (0.58) (-0.44) (-2.19)** (-1.22) (0.89) (1.59)
Telecommunications 0.0257 0.0280 -0.0716 -0.0143
(0.74) (0.89) (-0.35) (-0.11)
Utilities -0.0208 -0.0146 0.0509 0.0758
0.2165 0.2655
(-0.96) (-0.60) (0.89) (1.86)*
(6.05)*** (5.41)***
Financials 0.0128 0.0892 0.0235 0.0388
(0.47) (2.02)** (0.76) (1.03)
Technology
-0.0138 0.0242 0.0301 0.0226
(-0.13) (0.80) (0.93) (0.64)
Total 0.0157 0.0461 -0.0181 0.0282 0.0409 0.0424 0.1908 0.2095
(1.03) (2.61)*** (-0.42) (2.95)*** (1.91)* (1.83)* (5.73)*** (5.33)***
*, ** and *** indicate that the coefficient is significantly different from zero at the 0.1, 0.05 and 0.01 levels or better, respectively.
Table IX. Regression results of firm leverage for negative exposure group in Crisis III.
This table shows beta of dummy variable crisis year in Crisis III (2004 2011) for negative exposure group. Chile, Hong Kong, South Korea
and Russia are four countries with most significant results. The result includes crisis that relative to both book value of leverage and market
value of leverage in industry level, which is calculated by =
0
+
0
+
1
+
2
+
3
+
4
+
5
+ , where book value of leverage is the total debt divided by the sum of book value of
equity and total debt; market value of leverage is the total debt divided by the sum of market value of equity and total debt; crisis is the dummy
variable that equal to one in crises years, and equal to zero in the rest; profitability is earnings before interest and tax divided by the book value
of assets; growth opportunity is the market value of equity divided by book value of equity; firm size is the natural log of the book value of the
firms assets; tangibility is the book value of the firms plant and vehicles divided by the book value of the firms assets; current ratio is the
current assets divided by current liabilities. All data resources are from Datastream.
Table X
Industry
Crisis III (2004 - 2011) with Positive Exchange Exposure
AUS China HK Japan
BV MV BV MV BV MV BV MV
Oil & Gas 0.0432 0.1126 0.0863 0.0381 -0.3443 0.0212 0.0344 0.0622
(0.77) (2.78)*** (1.62) (0.52) (-1.63) (0.33) (0.90) (1.44)
Basic Materials 0.0716 0.0496 0.0392 -0.0848 0.0532 -0.0115 0.0148 0.0826
(0.91) (2.11)** (0.92) (-7.08)*** (1.11) (-0.25) (1.81)** (7.86)***
Industrials -4.3844 0.0619 0.0022 -0.0932 0.0397 -0.0357 -0.0075 0.0695
(-1.10) (4.12)*** (0.05) (-9.88)*** (1.00) (-1.31) (-1.21) (9.70)***
Consumer Goods 0.0463 0.0997 -0.1761 -0.1057 0.5652 -0.0873 0.0184 0.0791
(2.27)** (3.95)*** (-1.08) (-9.70)*** (1.15) (-3.20)*** (2.13)** (8.21)***
Health Care 0.5385 0.0664 -0.0797 -0.1032 0.0688 -0.0334 0.0498 0.0584
(1.84)* (2.53)** (-3.11)*** (-6.30)*** (1.36) (-0.93) (2.54)** (2.76)***
Consumer Services -0.0304 0.0512 0.0258 -0.1279 -0.3932 0.0604 0.0027 0.0399
(-0.62) (2.16)** (0.69) (-7.48) (-1.81)* (1.68)* (0.25) (3.46)***
Telecommunications 0.0406 0.0415
-0.0730 -0.1673 -0.0275 -0.1728
(0.90) (0.90)
(-0.70) (-3.73)*** (-0.53) (-2.30)**
Utilities -0.1323 -0.1797 0.0873 -0.0598 -0.0306 0.0298 0.0020 -0.0052
(-1.65)* (-1.74)* (1.59) (-2.71)*** (-0.56) (0.48) (0.12) (-0.29)
Financials -0.1807 0.1154 0.1034 -0.1014 0.0611 0.1060 -0.0585 -0.0185
(-0.72) (2.49)** (0.83) (-4.99)*** (0.50) (2.44)** (-0.90) (-0.26)
Technology -0.2020 0.0393 0.3736 -0.0550 0.5902 -0.1113 -0.0136 0.0488
(-1.16) (1.04) (1.09) (-2.91)*** (0.53) (-2.66)*** (-1.00) (3.16)***
Total -1.2319 0.0679 0.0090 -0.0943 0.2182 -0.0202 -0.0023 0.0705
(-1.14) (6.66)*** (0.23) (-18.67)*** (1.34) (-1.51) (-0.60) (15.94)***
*, ** and *** indicate that the coefficient is significantly different from zero at the 0.1, 0.05 and 0.01 levels or better, respectively.
Table X. Regression results of firm leverage for positive exposure group in Crisis III.
This table shows beta of dummy variable crisis year in Crisis III (2004 2011) for positive exposure group. Australia, China, Hong Kong
and J apan are four markets with most significant results. The result includes crisis that relative to both book value of leverage and market value
of leverage in industry level, which is calculated by =
0
+
0
+
1
+
2
+
3
+
4
+
5
+ , where book value of leverage is the total debt divided by the sum of book value of
equity and total debt; market value of leverage is the total debt divided by the sum of market value of equity and total debt; crisis is the dummy
variable that equal to one in crises years, and equal to zero in the rest; profitability is earnings before interest and tax divided by the book value
of assets; growth opportunity is the market value of equity divided by book value of equity; firm size is the natural log of the book value of the
firms assets; tangibility is the book value of the firms plant and vehicles divided by the book value of the firms assets; current ratio is the
current assets divided by current liabilities. All data resources are from Datastream.
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