European foreign exchange risk exposure

European Financial Management

Volumn 12, Issue 2, 2006, Pages 195-220

  Muller, Aline ^a   Verschoor, Willem F C ^a,b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b RADBOUD UNIVERSITY NIJMEGEN   (Netherlands)

Author keywords

European multinational firms; Exchange risk; Hedging policies; Intervaling; Long term exposure

Indexed keywords

EID: 33747371961     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1354-7798.2006.00316.x     Document Type: Article

References (38)

1. Adler, M. Dumas, B., 'Exposure to currency risk: definition and measurement', Financial Management, Summer, 1984, pp. 41 50.
2. Allayannis, G., 'The time-variation of the exchange rate exposure: an industry analysis', Working Paper( New York University, 1995).
3. Allayannis, G. Ofek, E., 'Exchange rate exposure, hedging and the use of foreign currency derivatives', Journal of International Money and Finance, Vol. 20, 2001, pp. 273 296.
4. Amihud, Y., 'Evidence on exchange rates and valuation of equity shares', in Y. Amihud R. M. Levich, (eds), Exchange Rates and Corporate Performance New York, Irwin Professional Publishing, 1994).
5. Bartov, E Bodnar, G. M., 'Firm valuation, earnings expectations, and the exchange rate exposure effect', Journal of Finance, Vol. 49, 1994, pp. 1755 85.
6. Bartov, E., Bodnar, G. M. Kaul, A., 'Exchange rate variability and the riskiness of US multinational firms: evidence from the breakdown', Journal of Financial Economics, Vol. 42, 1996, pp. 105 32.
7. Bodnar, G. M. Gentry, W. M., 'Exchange rate exposure and industry characteristics: evidence from Canada, Japan and the USA', Journal of International Money and Finance, Vol. 12, 1993, pp. 29 45.
8. Bodnar, G. M. Wong, M. H. F., 'Estimating exchange rate exposures: issues in model structure', Financial Management, Spring 2003, pp. 35 67.
9. Bodnar, G. M., de Jong, A. Macrae, V., 'The impact of institutional model differences on derivatives usage: a comparative study of US and Dutch firms', European Financial Management, Vol. 9, 2003, pp. 271 297.
10. Bollerslev, T., Chou, R. Kroner, K. F., 'ARCH modeling in finance: a review of the theory and empirical evidence', Journal of Econometrics, Vol. 52, 1992, pp. 5 59.
11. Bollerslev, T. Wooldridge, J. M., 'Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances', Econometric Reviews, Vol. 11, 1992, pp. 143 72.
12. Choi, J. J. Prasad, A. M., 'Exchange risk sensitivity and its determinants: a firm and industry analysis of US multinationals', Financial Management, Vol. 24, 1995, pp. 77 88.
13. Choi, J. J. Kim, Y., 'The Asian exposure of US firms: operational and risk management strategies, Pacific-Basin Finance Journal, Vol. 11, 2003, pp. 121 38.
14. Chow, E. W. Chen, H., 'The determinants of foreign exchange rate exposure: evidence on Japanese firms', Pacific-Basin Finance Journal, Vol. 6, 1998, pp. 153 74.
15. Chow, E., Lee, W. Solt, M., 'The economic exposure of US multinational firms', Journal of Financial Research, Vol. 20, 1997a, pp. 191 210.
16. Chow, E., Lee, W. Solt, M., 'The exchange rate risk exposure of asset returns', Journal of Business, Vol. 70, 1997b, pp. 105 23.
17. Dahlquist, M. Robertsson, G., 'Exchange rate exposure, risk premia, and firm characteristics', Working Paper( Duke University, 2001).
18. De Ceuster, M. J. K., Durinck, E., Laveren, E. Lodewyckx, J., 'A survey into the use of derivatives by large nonfinancial firms operating in Belgium', European Financial Management, Vol. 6, 2000, pp. 301 18.
19. De Santis, G. Gerard, B., 'How big is the premium for currency risk?', Journal of Financial Economics, Vol. 49, 1998, pp. 375 412.
20. Di Iorio, A. Faff, R., 'The effect of intervaling on the foreign exchange exposure of Australian stock returns', Multinational Finance Journal, Vol. 5, 2001, pp. 1 33.
21. Donnelly, R. Sheehy, E., 'The share price reaction of UK exporters to exchange rate movements: an empirical study', Journal of International Business Studies, Vol. 27, 1996, pp. 157 65.
22. Dominguez, K. M. Tesar, L. L., 'A re-examination of exchange rate exposure', American Economic Review, Vol. 91, 2001, pp. 396 99.
23. Doukas, J., Hall, P. H. Lang, L. H. P., 'The pricing of currency risk in Japan', Journal of Banking and Finance, 1999, Vol. 23, pp. 1 20.
24. Doukas, J., Hall, P. H. Lang, L. H. P., 'Exchange rate exposure at the firm and industry level', Financial Markets, Institutions and Instruments, Vol. 12, 2003, pp. 291 346.
25. Dumas, B. Solnik, B., 'The world price of foreign exchange risk', Journal of Finance, Vol. 50, 1995, pp. 445 79.
26. Froot, K., Scharfstein, D. Stein, J., 'Risk management: coordinating corporate investment and financing policies', Journal of Finance, Vol. 48, 1993, pp. 1629 58.
27. Geczy, C., Minton, B. A. Schrand, C., 'Why firms use currency derivatives', Journal of Finance, Vol. 52, 1997, pp. 1323 54.
28. Griffin, J. M. Stulz, R. M., 'International competition and exchange rate shocks: a cross-country industry analysis of stock returns', Review of Financial Studies, Vol. 14, 2001, pp. 215 41.
29. He, J. Ng, L., 'The foreign exchange exposure of Japanese multinational corporations', Journal of Finance, Vol. 53, 1998, pp. 733 53.
30. Jorion, P., 'The exchange rate exposure of US multinationals', Journal of Business, Vol. 63, 1990, pp. 331 45.
31. Nance, D. R., Smith, C. W. Jr Smithson, C. W., 'On the determinants of corporate hedging', Journal of Finance, Vol. 48, 1993, pp. 391 405.
32. Newey, W. West, K., 'A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix', Econometrica, Vol. 55, 1987, pp. 703 08.
33. Nieuwland, F. G. M. C., Verschoor, W. F. C. Wolf, C. C. P., 'Stochastic trends and jumps in EMS exchange rates', Journal of International Money and Finance, Vol. 13, 1994, pp. 699 727.
34. Nydahl, S., 'Exchange rate exposure, foreign involvement and currency hedging of firms: some Swedish evidence', European Financial Management, Vol. 5, 1999, pp. 241 57.
35. Oxelheim, L. Wihlborg, C., 'Measuring macroeconomic exposure: the case of Volvo cars', European Financial Management, Vol. 3, 1995, pp. 241 64.
36. Weiss, A. A., 'ARMA models with ARCH errors', Journal of Time Series Analysis, Vol. 5, 1984, pp. 129 43.
37. Weiss, A. A., 'Asymptotic theory for ARCH models: estimation and testing', Econometric Theory, Vol. 2, 1986, pp. 107 31.
38. White, H., 'Maximum likelihood estimation of misspecified models', Econometrica, Vol. 50, 1982, pp. 1 25.