Exchange rate risk exposure and the value of European firms

Parlapiano, F; Alexeev, V; Dungey, M

Exchange rate risk exposure and the value of European firms

Parlapiano, F Alexeev, V Dungey, M

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Publisher:: Routledge
Publication Type:: Journal Article
Citation:: The European Journal of Finance, 2017, 23, (2), pp. 111-129
Issue Date:: 2017

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Field	Value	Language
dc.contributor.author	Parlapiano, F
dc.contributor.author	Alexeev, V
dc.contributor.author	Dungey, M
dc.date.accessioned	2022-08-02T03:38:34Z
dc.date.available	2022-08-02T03:38:34Z
dc.date.issued	2017
dc.identifier.citation	The European Journal of Finance, 2017, 23, (2), pp. 111-129
dc.identifier.issn	1351-847X
dc.identifier.issn	1466-4364
dc.identifier.uri	http://hdl.handle.net/10453/159481
dc.description.abstract	This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected fluctuations in the USD, JPY, GBP and CHF against the Euro, and show that the proportion of firms subject to exchange rate risk is considerably larger when estimation accounts for potential common drivers and firm-specific factors than otherwise. Firm exposure to exchange rate risk is affected by the level of international involvement, industry, firm size and country of origin. European firms with largely domestic operations reveal the greatest vulnerability to unexpected exchange rate movements, suggesting an opportunity to improve risk management for these companies.
dc.language	English
dc.publisher	Routledge
dc.relation.ispartof	The European Journal of Finance
dc.relation.isbasedon	10.1080/1351847X.2015.1072570
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Exchange rate risk exposure and the value of European firms
dc.type	Journal Article
utslib.citation.volume	23
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	false
dc.date.updated	2022-08-02T03:38:33Z
pubs.issue	2
pubs.publication-status	Published
pubs.volume	23
utslib.citation.issue	2

Abstract:

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected fluctuations in the USD, JPY, GBP and CHF against the Euro, and show that the proportion of firms subject to exchange rate risk is considerably larger when estimation accounts for potential common drivers and firm-specific factors than otherwise. Firm exposure to exchange rate risk is affected by the level of international involvement, industry, firm size and country of origin. European firms with largely domestic operations reveal the greatest vulnerability to unexpected exchange rate movements, suggesting an opportunity to improve risk management for these companies.

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http://hdl.handle.net/10453/159481