Foreign currency derivative use and shareholder value

The Value-relevance of Foreign Currency Derivatives Disclosures

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 hedge only a small proportion of the currency risk they are facing, or that (ii) investors make systema...

Foreign Currency Futures

The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...

Negotiated Shareholder Value :

Negotiated Shareholder Value: The German Version of an Anglo-American Practice

Maximising Shareholder Value

Pricing Foreign Currency and Cross-Currency Options Under GARCH

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...