Measuring the Foreign Exchange Exposure of EGX30 Companies Using Fama-French Model "An Empirical Study"

Abstract

This study aims to examine the evidence for measuring the significance of foreign exchange exposure (FXE) for EGX30 companies during the period from 2000-2016. The problem of the study is concerned with the fluctuations of the foreign exchange (FX) rate in Egypt, which have a great effect on the financial performance of EGX30 companies. Following prior studies (e.g. Aggarwal R., 2010; Lee, 2011 and Sam Agyei-Ampomah K. M., 2012), this study uses Fama-French (FF) model to measure the FXE. The result of the study shows that 70% of EGX30 companies were significant to the foreign exchange exposure; the results are robust to the choice of model design.