Foreign currency derivative use and shareholder value
Belghitar, Yacine; Clark, Ephraim; Mefteh, Salma (2013), Foreign currency derivative use and shareholder value, International Review of Financial Analysis, 29, p. 283-293. http://dx.doi.org/10.1016/j.irfa.2012.02.004
TypeArticle accepté pour publication ou publié
Journal nameInternational Review of Financial Analysis
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Abstract (EN)This paper investigates the effect of foreign currency (FC) derivative use on shareholder value. Exposures are broken down by currency, by whether the currency is appreciating or depreciating and by whether exposures are symmetric or asymmetric. We find that derivatives are effective in reducing overall FC exposure but there is no evidence of value creation through the application of a program that identifies and targets only loss causing exposures. We also find that FC derivative use has no significant effect on firm value in the overall sample and when the sample is broken down by exposure type and derivative product.
Subjects / KeywordsForeign currency exposure; Asymmetric exposure; Foreign currency hedging; Derivatives; Firm value
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