Exchange Rate Exposure Among European Firms: Evidence from France, Germany and the UK

19 Pages Posted: 26 Nov 2005

See all articles by Bill Rees

Bill Rees

University of Edinburgh - Accounting and Finance

Sanjay C. Unni

LECG, LLC; University of California, Berkeley - Haas School of Business

Abstract

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.

Suggested Citation

Rees, William and Unni, Sanjay C., Exchange Rate Exposure Among European Firms: Evidence from France, Germany and the UK. Accounting and Finance, Vol. 45, No. 3, pp. 479-497, November 2005, Available at SSRN: https://ssrn.com/abstract=856452 or http://dx.doi.org/10.1111/j.1467-629X.2005.00154.x

William Rees (Contact Author)

University of Edinburgh - Accounting and Finance ( email )

29 Buccleuch Place
Edinburgh, EH8 9JS
United Kingdom
+44 131 651 5244 (Phone)

HOME PAGE: http://www.business-school.ed.ac.uk

Sanjay C. Unni

LECG, LLC ( email )

2000 Powell Street, Suite 600
Emeryville, CA 94608
United States

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

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