Foreign Exchange Exposure Elasticity and Financial Distress
研究发现，财务困境概率和成本较高的公司，其股票回报对汇率波动的敏感性更强，且在外汇大幅冲击下表现出更大的异常回报。
Financially distressed firms have limited ability to manage exchange rate exposure over time which could cause their fundamental value to be sensitive to the cash flow volatility related to currency movements. Accordingly, we hypothesize that the likelihood and costs of financial distress help explain cross‐sectional variations in return sensitivity to currency movements. We find that the level of exchange rate exposure elasticity is related to proxies for the likelihood of financial distress, growth opportunities, and product uniqueness. Further, firms with a greater likelihood and higher costs of financial distress exhibit greater abnormal returns in response to large exchange rate shocks.