This study investigates (i) the impact of first- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate fluctuation, (ii) the time-varying exchange rate exposure following the 1997 Asian financial turmoil and the global financial crisis which started in 2007. We find a high percentage of exposed firms before the two crises but if this percentage decreases dramatically after, the exposure level is much larger. The two crises affect also the asymmetric profile of the firms and volatilities. Finally, when we study the breakdown between systematic and diversifiable risks, we find that the market risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their equity financing cost. | Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns: The effects of financial crises on Taiwanese firms
