Year of Graduation
Impact of Currency Risk upon Stock Returns in the Russian Stock
This diploma work covers the issue of the exposure of Russian companies to foreign exchange risk. The focus of this study is on two stages: comparing different models of the impact of currency risk on the profitability of company shares and determining the determinants of companies. The models of the first stage are based on the returns of shares of companies, foreign currency and market portfolio. At the second stage, the model includes financial leverage, hedging, instant liquidity ratio, asset turnover ratio, income from foreign exchange transactions and export share. Empirical testing of the described models was performed on a sample of 67 Russian public companies compiled using the Capital IQ database and the Internet resource InvestFunds.ru between 2010 and 2017. As a result of testing the models of the first stage, it was revealed that the Colog-model, taking into account the asymmetry, showed the best test results. The results of the second stage of the study were identified significant determinants of exposure of these companies.