Asymmetric foreign currency exposures and derivatives use: evidence from France.

Clark, Ephraim A. and Mefteh, Salma (2011) Asymmetric foreign currency exposures and derivatives use: evidence from France. Journal of International Financial Management & Accounting, 22 (1). pp. 27-45. ISSN 0954-1314

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Abstract

This paper provides evidence on the asymmetric sensitivity of stock returns of French firms to exchange rate risk and the effect of foreign currency (FC) derivative use in alleviating this risk. The results show that FC exposure is frequently asymmetric and differs with respect to the US dollar (USD) and non-USD currencies. Cross sectional analysis provides evidence that FC derivatives use has a significant effect on reducing FC exposure to appreciations and depreciations of non-USD currencies and depreciations of the USD, but not to appreciations of the USD.

Item Type: Article
Research Areas: A. > Business School > Accounting and Finance
ISI Impact: 0
Item ID: 6982
Useful Links:
Depositing User: Devika Mohan
Date Deposited: 04 Feb 2011 06:24
Last Modified: 16 Dec 2015 19:13
URI: http://eprints.mdx.ac.uk/id/eprint/6982

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