Renter og valutakursers indflydelse på værdien af børsnoterede danske selskaber

Troels Bruun Wad Jørgensen & Martin Christensen

Student thesis: Master thesis


The exposure the fluctuations in different currencies have on a company’s cash flow has been acknowledged in papers like Jorion 1990 and Adler & Dumas 1984. This thesis tests if this holds true for currency exposure as well as the interest rate risk provided by the 10 years- and 3 months US T-bill. This is tested on both the companies’ cash flow and their stock prices. The companies chosen are all listed on the Danish OMXCCAPGI index less financial companies and companies, which did not have complete data available due to measurement difficulties. Time series were all extracted from 1984-2012, excluding the companies’ cash flows, which were sampled from 2003-2012. Two sub-periods were created from 1984-2001 and 2002-2012 to try to establish whether the introduction of the Euro had an impact on the regressions or not. Furthermore two groups of companies were also generated to test for a significant difference between hedging and non- or partial hedging companies. In the data manipulation and further analysis the fundamental regressions of the Fama & MacBeth 1973 scientific paper was used. In extension to the regression analysis there were calculated adjusted t-tests due to autocorrelation fund in connecting time series analysis - in this case the stock prices. The adjustment was composed as in Fama & French 2002. All results were tested at a 1%, 5% and a 10% confidence interval to establish results with the most validity. The findings of the thesis’ regressions and the subsequent analysis were inconclusive. In the analysis of the regressions between the stock prices and the exchange rates there were in fact significant findings before an adjustment of autocorrelation found in stock prices at a level of α=5%. In the case of the regression between interest rates and stock prices the t-test once more came to a significant result at a level of α=5%, though the adjusted t-test came to an insignificant conclusion for all the tested confidence intervals. In the sub periods dissimilarity was found from the period before to the period after the introduction of the Euro but the results were insignificant. As for the hedging and non- or partial hedging groups there was no significant difference between the groups, which could imply that the heading may do less of a difference than is thought. These results were yet again insignificant on all confidence intervals tested. There are no evident findings in the thesis that would suggest that the volatility of the U.S T-bill rates and the exchange rates chosen has any significant effect on the Danish companies listed on the OMXCCAPGI, likewise concerning the companies’ stock prices and their quarterly cash flow. Nor did the introduction of the Euro have significant impact towards the fluctuations of these companies’ variables.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2013
Number of pages111