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Analisi di sensitività al tasso di cambio: un’informazione utile per gli investitori?

  • Marco Maria Mattei
  • Fabrizio Palmucci
  • Pietro Bonetti

Il lavoro analizza gli effetti dell’entrata in vigore dell’IFRS 7, emanato dallo IASB con lo scopo di aumentare l’informazione sull’esposizione delle imprese ai rischi di mercato. La nostra ricerca indaga l’utilità per gli investitori dell’analisi di sensitività al rischio di tasso di cambio fornita dalle società quotate italiane. I risultati mostrano che prima dell’introduzione dell’IFRS 7 il mercato stimava erroneamente l’esposizione al tasso di cambio, mentre successivamente la sensitività dei rendimenti al tasso di cambio sembra allinearsi con le esposizioni dichiarate. Dall’analisi, inoltre, emerge che l’informazione sull’esposizione riduce la sensitività dei volumi al tasso di cambio. I nostri risultati integrano la letteratura statunitense fornendo evidenze di come un’analisi di sensitività anche backward-looking sia utile al mercato.

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Article provided by FrancoAngeli Editore in its journal FINANCIAL REPORTING.

Volume (Year): 2011/2 (2011)
Issue (Month): 2 ()
Pages: 33-62

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Handle: RePEc:fan:frfrfr:v:html10.3280/fr2011-002003
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