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Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France
Author(s) -
Clark Ephraim,
Mefteh Salma
Publication year - 2010
Publication title -
journal of international financial management and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.818
H-Index - 37
eISSN - 1467-646X
pISSN - 0954-1314
DOI - 10.1111/j.1467-646x.2010.01044.x
Subject(s) - currency , monetary economics , economics , liberian dollar , stock (firearms) , us dollar , derivative (finance) , exchange rate , foreign exchange risk , financial economics , finance , mechanical engineering , engineering
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.