This paper examines whether there exists any relationship between individual Asian firms' stock returns and fluctuations in foreign exchange rates. We find that about 25 percent of these firms experienced economically significant exposure effects to the U.S. dollar and 22.5 percent to the...

While in previous literature foreign currency exposure is estimated to be surprisingly small and insignificant, we question in this paper the rationality assumption and show that the traditional use of realized exchange rate changes to approximate unexpected currency shocks leads to a strong...

In this article we reconsider the Froot and Frankel (1989) results on the sources of forward discount bias. We question the economic validity of some estimation restrictions which they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that...

In this article we reconsider the Foot and Frankel results on the sources of forward discount bias. We question the economic validity of some estimation restrictions that they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that includes...

It is common wisdom that the 9/11 terrorist attacks boosted political and financial uncertainty and resulted in severe stock market meltdowns in the months after the attacks. Taking a sectoral focus of the market for US common stock, we apply statistical extreme value analysis (EVT) to assess...

"We find that about 13% of our sample of 817 European multinational firms experienced economically significant exposure effects to the Japanese yen, 14% to the US dollar and 22% to the UK pound. Our evidence differs substantially from the US experience and is robust across sub-sample periods,...

This paper studies the value-relevance of FCD disclosures of European non-financial firms. Our findings show that these firms use FCDs to hedge and not to speculate but that the impact of hedging strategies' disclosures is statistically and economically weak revealing that either (i) managers...

This paper not only determines why individual firms use foreign currency derivative but investigates also what effects this derivatives usage has on the foreign exchange risk exposure of 471 European non-financial firms. We find strong evidence in favor of the existence of economies of scale in...

Purpose -The purpose of this paper is to investigate the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (Dow Jones Industrial Average, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money...