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摘 要：The article using quarterly data presents the empirical results of the relation between abnormal stock performance and contemporaneous and lagged changes in the value of RMB based on 25 listed trading firms with exchange rate exposure in China from 2002Q2 to 2013Q4. Regression results show us that both the contemporaneous and lagged exchange rate changes are negatively associated with the abnormal stock performance， and that the contemporaneous exchange rate changes explain more about the mispricing.
Introduction
The purpose of this paper is to examine the relationship between changes of exchange rate and abnormal stock performanc. Also we take the China exchange rate reform into consideration to see the structural change in the relation.
In order to see clear in this problem， we need to choose firms which have similar exchange exposures. In the previous studies， there are two major problems exists. First is the sample selection， this paper argues that if the sample contains firms with different relationship between exchange rate and stock performance， that will make the empirical result ambiguous. Also， for some big trading firms， because they have big exchange rate exposure， so they always take some strategy to hedge the risk. They think that investors do not freely use all the available information is another reason to the not significant evidence in prior studies. We explore the relation between the exchange rate changes with abnormal stock performance in Chinese market.
Model and Variable Definitions
To set up our regression model， we should first get the abnormal stock returns （ASP） of firms. The ASPs are derived from a series of abnormal return and we use the similar method to ELI BARTOV and GORDON M.BODNAR （1994） to measure the abnormal return.
We use CAPM model r-rf=β（rm-rf）+α to estimated daily beta and alpha of each stock. Data used to calculate day t’s beta and alpha is from 200 days prior of day t to 100 days prior day t. rf is calculated from 3-month time deposit and rm is SSE Composite Index.
Compute daily abnormal returns （ARi，t） of each firm using the market model： ARi，t= ri，t - αi - βi*rm，t，where ri，t is the real return for security i in day t， rm，t is the market return in day t
According to the formula， we use the first 60 trading days’ AR to capture the ASP. If there is any quarter doesn’t have 60 trading days’ data， we use all the days we have got in that quarter. The first ASP is from 2002Q2， we skip the first quarter of the new fiscal year to allow the abnormal return period to be a period after the investors have received information about the past performance of the firm.
Introduction
The purpose of this paper is to examine the relationship between changes of exchange rate and abnormal stock performanc. Also we take the China exchange rate reform into consideration to see the structural change in the relation.
In order to see clear in this problem， we need to choose firms which have similar exchange exposures. In the previous studies， there are two major problems exists. First is the sample selection， this paper argues that if the sample contains firms with different relationship between exchange rate and stock performance， that will make the empirical result ambiguous. Also， for some big trading firms， because they have big exchange rate exposure， so they always take some strategy to hedge the risk. They think that investors do not freely use all the available information is another reason to the not significant evidence in prior studies. We explore the relation between the exchange rate changes with abnormal stock performance in Chinese market.
Model and Variable Definitions
To set up our regression model， we should first get the abnormal stock returns （ASP） of firms. The ASPs are derived from a series of abnormal return and we use the similar method to ELI BARTOV and GORDON M.BODNAR （1994） to measure the abnormal return.
We use CAPM model r-rf=β（rm-rf）+α to estimated daily beta and alpha of each stock. Data used to calculate day t’s beta and alpha is from 200 days prior of day t to 100 days prior day t. rf is calculated from 3-month time deposit and rm is SSE Composite Index.
Compute daily abnormal returns （ARi，t） of each firm using the market model： ARi，t= ri，t - αi - βi*rm，t，where ri，t is the real return for security i in day t， rm，t is the market return in day t
According to the formula， we use the first 60 trading days’ AR to capture the ASP. If there is any quarter doesn’t have 60 trading days’ data， we use all the days we have got in that quarter. The first ASP is from 2002Q2， we skip the first quarter of the new fiscal year to allow the abnormal return period to be a period after the investors have received information about the past performance of the firm.