Post by alanbond on Jul 28, 2009 8:31:46 GMT 4
Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France
Ephraim Clark
Middlesex University - Business School; Lille School of Management Research Center
Salma Mefteh
Ecole Superieure Des Sciences Commerciales D'Angers (ESSCA)
June 18, 2009
Abstract:
This paper provides evidence on the asymmetric sensitivity of stock returns of French firms to exchange rate risk and the effect of FC derivative use in alleviating this risk. The results show that exposure is frequently asymmetric and asymmetric exposure is sensitive to different currency exposures. Cross sectional analysis provides evidence that FC derivatives use has a significant negative effect on FC exposure levels. This effect is sensitive to the hedging strategy and it varies with respect to different currencies.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1421843_code1293242.pdf?abstractid=1421843&mirid=3
Ephraim Clark
Middlesex University - Business School; Lille School of Management Research Center
Salma Mefteh
Ecole Superieure Des Sciences Commerciales D'Angers (ESSCA)
June 18, 2009
Abstract:
This paper provides evidence on the asymmetric sensitivity of stock returns of French firms to exchange rate risk and the effect of FC derivative use in alleviating this risk. The results show that exposure is frequently asymmetric and asymmetric exposure is sensitive to different currency exposures. Cross sectional analysis provides evidence that FC derivatives use has a significant negative effect on FC exposure levels. This effect is sensitive to the hedging strategy and it varies with respect to different currencies.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1421843_code1293242.pdf?abstractid=1421843&mirid=3