Exchange rate exposure, hedging, and the use of foreign currency derivatives

Journal of International Money and Finance

Volumn 20, Issue 2, 2001, Pages 273-296

  Allayannis, George ^a   Ofek, Eli ^b  

^a UNIVERSITY OF VIRGINIA   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Corporate policies; F23; F30; Foreign trade; G30; Multinationals; Risk management

Indexed keywords

EID: 0001193948     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(00)00050-4     Document Type: Article

References (29)

1. Adler M., Dumas B. Exposure to currency risks: definition and measurement. Financial Management. 13(Summer):1984;41-50.
2. Allayannis, G., 1996. Exchange rate exposure revisited. Working Paper (DSWP-97-06), Darden Graduate School of Business Administration, University of Virginia.
3. Altman E. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance. 23(4):1968;589-609.
4. Amihud Y. Evidence on exchange rates and the valuation of equity shares. Amihud Y., Levich R. Exchange Rates and Corporate Performance. 1993;Business One, Irwin, IL.
5. Bodnar G., Gentry W. Exchange rate exposure and industry characteristics: evidence from Canada, Japan and the U.S. Journal of International Money and Finance. 12:1993;29-45.
6. Bodnar G., Hayt G., Marston R., Smithson W. Wharton survey of derivatives usage by U.S. non-financial firms. Financial Management. 24(Summer):1995;104-115.
7. Block S., Gallagher T. The use of interest rate futures and options by corporate financial managers. Financial Management. 15(Autumn):1986;73-78.
8. Booth J., Smith R., Stolz R. The use of interest rate futures by financial institutions. Journal of Bank Research. 15(Spring):1984;15-20.
9. Cragg J. Some statistical models for limited dependent variable with application to the demand of durable goods. Econometrica. 39:1971;829-844.
10. DeMarzo P., Duffie D. Corporate incentives for hedging and hedge accounting. The Review of Financial Studies. 95(8):1995;743-771.
11. Dolde, W., 1993. Use of foreign exchange and interest rate risk management in large firms. Working Paper, University of Connecticut, Storrs, CT.
12. Dumas B. The theory of the trading firm revisited. Journal of Finance. 33(June):1978;1019-1029.
13. Francis K., Stephan J. Characteristics of hedging firms: an empirical examination. Schwartz R.J., Smith C.W. Jr. Advanced Strategies in Financial Risk Management. 1990;New York Institute of Fiance and Simon and Schuster, Englewood Cliffs, NJ and New York.
14. Froot K., Scharfstein D., Stein J. Risk management: coordinating corporate investment and financing policies. Journal of Finance. 48(December):1993;1624-1658.
15. Geczy C., Minton B., Schrand C. Why firms use currency derivatives? Journal of Finance. 52(September):1997;1324-1354.
16. Haushalter D. Financing policy, basis risk and corporate hedging: evidence from oil and gas producers. Journal of Finance. 55:2000;107-152.
17. Hentschel, L., Kothari, S.P., 1997. Life insurance or lottery: Are corporations managing or taking risks with derivatives?, Working paper, University of Rochester, Rochester, NY.
18. Hodder J. Exposure to exchange rate movements. Journal of International Economics. 13(November):1982;375-386.
19. Jorion P. The exchange rate exposure of U.S. multinationals. Journal of Business. 63:1990;331-345.
20. Levi M. Exchange rates and the value of the firm. Amihud Y., Levich R. Exchange Rates and Corporate Performance. 1993;Business One, Irwin, IL.
21. Mian S. Evidence on corporate hedging policy. Journal of Financial and Quantitative Analysis. 31(September):1996;419-439.
22. Nance D., Smith C., Smithson C. On the determinants of corporate hedging. Journal of Finance. 48(March):1993;267-284.
23. Shapiro A. Exchange rate change, inflation and the value of the multinational corporation. Journal of Finance. 30:1975;485-502.
24. Simkins, B., Laux, P., 1997. Derivatives use and the exchange rate risk of investing in large U.S. corporations. Working Paper, Case Western Reserve University.
25. Smith C., Stulz R. The determinants of firms' hedging policies. Journal of Financial and Quantitative Analysis. 20(December):1985;391-405.
26. Stulz R. Optimal hedging policies. Journal of Financial and Quantitative Analysis. 19(June):1984;127-140.
27. Tufano P. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance. 51(September):1996;1097-1137.
28. Visvanathan G. Who uses interest rate swaps? A cross-sectional analysis. Journal of Accounting, Auditing and Finance. 13:1998;173-200.
29. Wall L., Pringle J. Alternative explanations of interest rate swaps: a theoretical and empirical analysis. Financial Management. 18(Summer):1989;59-73.