Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France

Ephraïm Clark · Salma Mefteh

30 citations0/0 files storedJournal of International Financial Management and Accounting

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Risk Management in Financial Firms Financial Markets and Investment Strategies Global Financial Crisis and Policies

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.

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1985The Determinants of Firms' Hedging Policies 1993Understanding Risk and Return 1996RETHINKING RISK MANAGEMENT 1997Why Firms Use Currency Derivatives 1990The Exchange-Rate Exposure of U.S. Multinationals 2001Exchange rate exposure, hedging, and the use of foreign currency derivatives 2002Do Firms Hedge in Response to Tax Incentives?1984Exposure to Currency Risk: Definition and Measurement

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