 Exchange Rate Risk Exposure and the Value of European FirmsFabio Parlapiano and Vitali Alexeev No 2012-09, Working Papers from University of Tasmania, Tasmanian School of Business and Economics Abstract: We investigate the exposure of European firms to unexpected exchange rate changes of the Euro against currencies of Europe’s main trade partners: the USA, UK, and Japan. Using monthly data for the period from 1999 to 2011 and accounting for underlying macroeconomic fundamentals, the analysis covers 600 firms - constituents of the Euro Stoxx TMI and the Euro Stoxx 50. The large number of firms in the sample furthers the insight of how firms’ characteristics, that is the level of international involvement, country of origin, industry and firm size associate with the exposure to exchange risks. Among the currency pairs analyzed the Yen is shown to have the highest impact on the market value of European firms, with the largest effect on firms in the financial sector. Moreover, the impact is greater for non exporters and large capitalization firms. The relationship between firms’ sensitivities to market and exchange rate fluctuations is explored. Keywords: Exchange rate risk exposure; unexpected exchange rate changes; market and currency beta interdependence; European firms (search for similar items in EconPapers) Published by the University of Tasmania. Discussion paper 2012-09 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:201209 Access Statistics for this paper More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC. |
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