Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France |
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| Authors: | Ephraim Clark Salma Mefteh |
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| Institution: | 1. Middlesex University Business School, The Burroughs, London NW4, U.K. University of Lille Nord de France—SKEMA, Research Center, Euralille 59777, France e‐mail: e.clark@mdx.ac.uk;2. ESSCA School of Management, 1 rue lakanal, BP 40348, 49003, Angers, Cedex 01, Francee‐mail: salma.mefteh@essca.fr |
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| Abstract: | 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. |
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