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The Asian crisis and the exposure of large U.S. firms

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  • William R. Emmons
  • Frank A. Schmid

Abstract

A deep financial and economic crisis ravaged many Asian nations during 1997 and 1998. In this article, William Emmons and Frank Schmid examine the impact of the crisis on corporate risk for a subset of large U.S. firms that are included in the S&P 100 stock-market index. They find that the Asian crisis changed many of these firms' exposure to stock-market movements-that is, their \\"betas\\" or sensitivity to stock-market risk. In particular, the extent of a firm's sales exposure to Asia appears to be an important link through which the crisis affected beta. This effect is amplified by greater financial leverage.

Suggested Citation

  • William R. Emmons & Frank A. Schmid, 2000. "The Asian crisis and the exposure of large U.S. firms," Review, Federal Reserve Bank of St. Louis, vol. 82(Jan), pages 15-34.
    • Handle: RePEc:fip:fedlrv:y:2000:i:jan:p:15-34:n:v.82no.1
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    References listed on IDEAS

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    Cited by:

    1. Cletus C. Coughlin & Patricia S. Pollard, 2000. "State exports and the Asian crisis," Review, Federal Reserve Bank of St. Louis, vol. 82(Jan), pages 3-14.
    2. Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
    3. Choudhry, Taufiq, 2005. "Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms," Pacific-Basin Finance Journal, Elsevier, vol. 13(1), pages 93-118, January.
    4. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
    5. Chen, Cherry C. & So, Raymond W., 2002. "Exchange rate variability and the riskiness of US multinational firms: evidence from the Asian financial turmoil," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 411-428.

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    Keywords

    Stock - Prices; Financial crises - Asia;

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