Abstract
This paper uses an event, the Swedish EMU-referendum, to study the relationship between exchange rate risk and the market capitalization of exporting companies. Using event-study methodology, we examine how firms on the Swedish stock market were affected by the decision not to join the European Monetary Union, which would to a have eliminated exchange rate risk for many companies. We find evidence of statistically significant negative abnormal returns on the trading day after the election for two out of fifteen examined industry indices, but no effects in a sample of publicly traded exporting firms.