Foreign currency derivative use and shareholder value

被引：26

作者：

Belghitar, Yacine ^{[1
]}

Clark, Ephraim ^{[2
,3
]}

Mefteh, Salma ^{[4
,5
]}

机构：

[1] Cranfield Univ, Cranfield Sch Management, Bedford MK43 0AL, England

[2] Middlesex Univ, Middlesex Business Sch, Burroughs, Hendon London NW4 4BT, England

[3] Univ Lille Nord France SKEMA, Lille, France

[4] ESSCA Business Sch, F-49003 Angers, France

[5] Univ Paris 09, F-75775 Paris, France

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2013年 / 29卷

关键词：

Foreign currency exposure; Asymmetric exposure; Foreign currency hedging; Derivatives; Firm value; EXCHANGE-RATE EXPOSURE; INDUSTRY ANALYSIS; AGENCY COSTS; FIRMS HEDGE; RISK; DETERMINANTS; DIVERSIFICATION; COMPETITION; BALANCE; DEBT;

D O I：

10.1016/j.irfa.2012.02.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：283 / 293

页数：11

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