Valutarisken inom Stockholmsbörsen - En kvantitativ undersökning av OMXS30-bolagens valutaexponering

Sammanfattning: Title: The Foreign Exchange Risk of the Stockholm Stock Exchange, a Quantitative Analysis of the Foreign Exchange Risk Exposure of OMXS30-Firms. Seminar date: 1 June 2023. Course: FEKH89, Bachelor’s Thesis in Corporate Finance. Authors: Felix Hult, Mahdi Rahideh & André Rosdahl. Advisor: Göran Andersson. Key words: Foreign exchange risk, Foreign exchange exposure, OMXS30, stock return, hedging. Research question: 1. Does foreign exchange rate movements affect the equity value of OMXS30 companies? 2. Is it possible to observe any similarities/differences in the exposure between the studied firms? Purpose: By using quantitative methods, measure the foreign exchange risk exposure of the 30 most traded companies on the Stockholm stock exchange. Methodology: This study employs two different linear time-series regression models over a ten-year period for each of the selected companies, using monthly contemporaneous observations with the companies’ stock returns as the dependent variable and movements in foreign exchange rates or a trade-weighted foreign exchange index as independent variables. Theoretical perspectives: This study uses previous literature in foreign exchange exposure as well as theoretical models that describes the relationship between exchange rate movements and stock prices. Result: We find statistically significant evidence for foreign exchange risk exposure for a portion of the studied firms, both against a trade-weighted foreign exchange rate index as well as against individual exchange rates. The results also show that a big majority of the significantly exposed firms are positively affected by a depreciation of the Swedish krona, and that non-financial and financial firms differ in their exposure patterns based on what regression model is used. Conclusion: The results suggest that there is an exposure puzzle present in Sweden as well, that cannot be explained in full by the chosen theoretical models. This study adds to the previous literature in this area and provides a piece to what academics in this field usually refers to as the exposure puzzle.