The effect of exchange rate variability on U.S. Schareholder wealth

A. Muller, W.F.C. Verschoor*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


We examine the relationship between financial crisis exchange rate variability and equity return volatility for us multinationals. Empirical analysis of the major financial crises of the last decades reveals that stock return variability increases significantly in the aftermath of a crisis, even relative to the increase in stock return volatility for other firms belonging to the same industry and market capitalization class. In conjunction with this increase in total volatility, there is also an increase in stock market risk (ß) for multinational firms. Moreover, trade and service oriented industries appear to be particularly sensitive to these changing exchange rate conditions.
Original languageEnglish
Pages (from-to)1963-1997
Number of pages35
JournalJournal of Banking & Finance
Publication statusPublished - 1 Jan 2009


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