We gratefully acknowledge Robert Faff, Darryl Holden, Jeroen Ligterink, Anthony Santomero, Piet Sercu, Richard Stapleton and an anonymous referee for their suggestions. Steven Tokar provided excellent research assistance on earlier drafts of the present paper.
Exchange rate exposure among European firms: evidence from France, Germany and the UK
Version of Record online: 15 NOV 2005
Accounting & Finance
Volume 45, Issue 3, pages 479–497, November 2005
How to Cite
Rees, W. and Unni, S. (2005), Exchange rate exposure among European firms: evidence from France, Germany and the UK. Accounting & Finance, 45: 479–497. doi: 10.1111/j.1467-629X.2005.00154.x
- Issue online: 15 NOV 2005
- Version of Record online: 15 NOV 2005
- Received 15 September 2004; accepted 25 February 2005 by Robert Faff (Editor).
- Exchange rate exposure;
- Intervalling effects
We investigate the pre-Euro exposure to exchange rate changes of large firms in the UK, France and Germany. We find that the exchange rate sensitivity is considerably stronger than previously thought. In all three countries, firms typically gain value when their local currency depreciates against the US dollar, yet most UK firms lose value when sterling depreciates against the European currency unit. We also document the existence of an intriguing intervalling effect in the measurement of exchange rate exposure, which suggests that share prices might exhibit a delayed response to information, and prevents us from making robust generalizations concerning other exchange rate sensitivities.